IDEAS home Printed from https://ideas.repec.org/a/spr/joptap/v192y2022i2d10.1007_s10957-021-01987-9.html
   My bibliography  Save this article

Sufficient Maximum Principle for Stochastic Optimal Control Problems with General Delays

Author

Listed:
  • Feng Zhang

    (Shandong University of Finance and Economics)

Abstract

This paper is to establish a sufficient maximum principle for one kind of stochastic optimal control problem with three types of delays: a discrete delay, a moving-average delay and a noisy memory. The main features of this research include the introduction of a unified adjoint equation and a simple method to get the adjoint process. One kind of optimal consumption problem and its special cases are studied as illustrative examples, for which the adjoint equations are solved with two different approaches and the optimal consumption strategies are obtained.

Suggested Citation

  • Feng Zhang, 2022. "Sufficient Maximum Principle for Stochastic Optimal Control Problems with General Delays," Journal of Optimization Theory and Applications, Springer, vol. 192(2), pages 678-701, February.
    • Handle: RePEc:spr:joptap:v:192:y:2022:i:2:d:10.1007_s10957-021-01987-9
    DOI: 10.1007/s10957-021-01987-9
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s10957-021-01987-9
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s10957-021-01987-9?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Emel Savku & Gerhard-Wilhelm Weber, 2018. "A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance," Journal of Optimization Theory and Applications, Springer, vol. 179(2), pages 696-721, November.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Kuang, Daipeng & Li, Jianli & Gao, Dongdong & Luo, Danfeng, 2024. "Stochastic near-optimal control for a system with Markovian switching and Lévy noise," Chaos, Solitons & Fractals, Elsevier, vol. 178(C).
    2. Li Chen & Peipei Zhou & Hua Xiao, 2023. "Backward Stackelberg Games with Delay and Related Forward–Backward Stochastic Differential Equations," Mathematics, MDPI, vol. 11(13), pages 1-18, June.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Chen, Jianxin & Zheng, Junhao & Zhang, Tonghua & Hou, Rui & Zhou, Yong-wu, 2022. "Dynamical complexity of pricing and green level for a dyadic supply chain with capital constraint," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 195(C), pages 1-21.
    2. Qi, Yue & Liao, Kezhi & Liu, Tongyang & Zhang, Yu, 2022. "Originating multiple-objective portfolio selection by counter-COVID measures and analytically instigating robust optimization by mean-parameterized nondominated paths," Operations Research Perspectives, Elsevier, vol. 9(C).
    3. Liu, Yuanyuan & Wen, Zhexin, 2024. "Two-time-scale stochastic functional differential equations with wideband noises and jumps," Chaos, Solitons & Fractals, Elsevier, vol. 182(C).
    4. Jerzy Grobelny & Rafal Michalski & Gerhard-Wilhelm Weber, 2021. "Modeling human thinking about similarities by neuromatrices in the perspective of fuzzy logic," WORking papers in Management Science (WORMS) WORMS/21/09, Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology.
    5. Lucia Reis Peixoto Roselli & Leydiana de Sousa Pereira & Anderson Lucas Carneiro de Lima Silva & Adiel Teixeira Almeida & Danielle Costa Morais & Ana Paula Cabral Seixas Costa, 2020. "Neuroscience experiment applied to investigate decision-maker behavior in the tradeoff elicitation procedure," Annals of Operations Research, Springer, vol. 289(1), pages 67-84, June.
    6. E. Savku & G.-W Weber, 2022. "Stochastic differential games for optimal investment problems in a Markov regime-switching jump-diffusion market," Annals of Operations Research, Springer, vol. 312(2), pages 1171-1196, May.
    7. De, Arijit & Choudhary, Alok & Turkay, Metin & Tiwari, Manoj K., 2021. "Bunkering policies for a fuel bunker management problem for liner shipping networks," European Journal of Operational Research, Elsevier, vol. 289(3), pages 927-939.
    8. Soheyl Khalilpourazari & Saman Khalilpourazary & Aybike Özyüksel Çiftçioğlu & Gerhard-Wilhelm Weber, 2021. "Designing energy-efficient high-precision multi-pass turning processes via robust optimization and artificial intelligence," Journal of Intelligent Manufacturing, Springer, vol. 32(6), pages 1621-1647, August.
    9. Ganji, S.S. & Tirkolaee, Erfan Babaee & Jahed, Rasul, 2024. "Evaluating the performance of intercity road freight transport: Double-frontier parallel network cross-efficiency model," Socio-Economic Planning Sciences, Elsevier, vol. 94(C).
    10. Wang, Liang & Jiang, Daqing & Feng, Tao, 2022. "Threshold dynamics in a stochastic chemostat model under regime switching," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 599(C).
    11. Emel Savku, 2023. "A Stochastic Control Approach for Constrained Stochastic Differential Games with Jumps and Regimes," Mathematics, MDPI, vol. 11(14), pages 1-20, July.
    12. Erfan Babaee Tirkolaee & Alireza Goli & Selma Gütmen & Gerhard-Wilhelm Weber & Katarzyna Szwedzka, 2023. "A novel model for sustainable waste collection arc routing problem: Pareto-based algorithms," Annals of Operations Research, Springer, vol. 324(1), pages 189-214, May.
    13. Fikriye Yılmaz & Hacer Öz Bakan & Gerhard-Wilhelm Weber, 2024. "Weak Second-Order Conditions of Runge–Kutta Method for Stochastic Optimal Control Problems," Journal of Optimization Theory and Applications, Springer, vol. 202(1), pages 497-517, July.
    14. Reza Lotfi & Kiana Kheiri & Ali Sadeghi & Erfan Babaee Tirkolaee, 2024. "An extended robust mathematical model to project the course of COVID-19 epidemic in Iran," Annals of Operations Research, Springer, vol. 339(3), pages 1499-1523, August.
    15. Li, Zhuyue & Zhao, Peixin & Han, Xue, 2022. "Agri-food supply chain network disruption propagation and recovery based on cascading failure," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 589(C).
    16. Zhao, Linlin & Zhu, Qingyuan & Zhang, Lin, 2021. "Regulation adaptive strategy and bank efficiency: A network slacks-based measure with shared resources," European Journal of Operational Research, Elsevier, vol. 295(1), pages 348-362.
    17. Zhang, Dezhi & Zhang, Fangtao & Liang, Yijing, 2021. "An evolutionary model of the international logistics network based on the Belt and Road perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 572(C).
    18. Masoud Alinezhad & Iraj Mahdavi & Milad Hematian & Erfan Babaee Tirkolaee, 2022. "A fuzzy multi-objective optimization model for sustainable closed-loop supply chain network design in food industries," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 24(6), pages 8779-8806, June.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:joptap:v:192:y:2022:i:2:d:10.1007_s10957-021-01987-9. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.