Stochastic Maximum Principle for Control System with Time-varying delay
Fuente:
arXiv
Salvato in:
| Autori principali: | , |
|---|---|
| Natura: | Preprint |
| Pubblicazione: |
2024
|
| Soggetti: | |
| Accesso online: | |
| Tags: |
Aggiungi Tag
Nessun Tag, puoi essere il primo ad aggiungerne!!
|
| _version_ | 1866909073299996672 |
|---|---|
| author | Li, Yuhang Han, Yuecai |
| author_facet | Li, Yuhang Han, Yuecai |
| contents | In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and uniqueness of the solution of this equation. We obtain the stochastic maximum principle of the control system with time-varying delay by introducing a kind of generalized anticipated backward stochastic differential equations. We prove the existence and uniqueness of the solution of this adjoint equation. As an application, the linear quadratic moving average control problem is investigated to illustrate the main result. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2401_07520 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Stochastic Maximum Principle for Control System with Time-varying delay Li, Yuhang Han, Yuecai Optimization and Control In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and uniqueness of the solution of this equation. We obtain the stochastic maximum principle of the control system with time-varying delay by introducing a kind of generalized anticipated backward stochastic differential equations. We prove the existence and uniqueness of the solution of this adjoint equation. As an application, the linear quadratic moving average control problem is investigated to illustrate the main result. |
| title | Stochastic Maximum Principle for Control System with Time-varying delay |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2401.07520 |