含有时滞的倒向重随机控制系统最大值原理

Journal of Jilin University Science Edition ›› 2020, Vol. 58 ›› Issue (3): 493-497.

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Maximum Principle for Backward DoublyStochastic Control System with Time Delay

XU Jie¹, LV Xianrui²

1. College of Sciences, Jilin Institute of Chemical Technology, Jilin 132022, Jilin Province, China;
2. College of Mathematics, Jilin University, Changchun 130012, China

Received:2019-10-23 Online:2020-05-26 Published:2020-05-20
Contact: LV Xianrui E-mail: lvxr@jlu.edu.cn

Abstract

Abstract: We considered the control problem of the backward doubly stochastic system with time delays in both state variables and the control variables. By introducing the anticipated backward doubly stochastic differential equati
ons as its adjoint equation, using the classical convex variational method and dual technique, we gave the maximum principle for the backward doubly stochastic system with time delay under certain conditions.

Key words: doubly stochastic differential equation, maximum principle, time delay, optimal control

CLC Number:

O231.3

XU Jie, LV Xianrui. Maximum Principle for Backward DoublyStochastic Control System with Time Delay[J].Journal of Jilin University Science Edition, 2020, 58(3): 493-497.

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Maximum Principle for Backward DoublyStochastic Control System with Time Delay

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