关键词: 带跳的正倒向随机比例系统, 随机最优控制, 随机最大值原理, 对偶方法, 变分法

Abstract:

We made an investigation into the stochastic optimal control problem of the stochastic delayed system described by forward-backward stochastic pantograph equations with random jumps by virtue of classical variational approach, duality method and the anticipated backward stochastic pantograph equations with random jumps, obtaining the maximum principle for this problem.

Key words: forwardbackward stochastic pantograph systems with random jumps, stochastic optimal control, stochastic maximum principle, duality method, variational approach