3 papers
math.OC2026
Stochastic maximum principle for optimal control of infinitely delayed systems of functional type in infinite dimensions
Guanwei Cheng
This paper studies the optimal control problems of stochastic evolution equations with infinite delay of general functional type. By introducing a non-anticipative path derivative…
math.OC2025
Stochastic Maximum Principle for Optimal Control of Anticipated Backward Stochastic Systems with Delays
Guanwei Cheng
This paper investigates optimal control problems for delayed systems governed by Infinitely Anticipated Backward Stochastic Differential Equations (IABSDEs). Unlike existing framew…
math.PR2025
Infinite Anticipation Backward Stochastic Differential Equations
Guanwei Cheng, Shuzhen Yang
In this paper, we introduce a new type of backward stochastic differential equations (BSDEs) with infinite anticipation, where the generator depends on the entire future values of…