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math.OC2019
Stochastic Recursive Optimal Control Problem with Mixed Delay under Viscosity Solution's Framework
Weijun Meng, Jingtao Shi
This paper is concerned with the stochastic recursive optimal control problem with mixed delay. The connection between Pontryagin's maximum principle and Bellman's dynamic programm…
math.OC2019★ 2 cited
A Global Maximum Principle for the Stochastic Optimal Control Problem with Delay
Weijun Meng, Jingtao Shi
In this paper, an open problem is solved, for the stochastic optimal control problem with delay where the control domain is nonconvex and the diffusion term contains both control a…