{
  "id": "2010.08906",
  "version": "v1",
  "published": "2020-10-18T02:42:42.000Z",
  "updated": "2020-10-18T02:42:42.000Z",
  "title": "A General Maximum Principle for Stochastic Systems with Delay",
  "authors": [
    "Qixia Zhang"
  ],
  "categories": [
    "math.OC"
  ],
  "abstract": "In this paper, we consider optimal control problems derived by stochastic systems with delay, where control domains are non-convex and the diffusion coefficients depend on control variables. By an estimate of the integral of x_{1}(t)x_{1}(t-\\delta) term, we obtain a general maximum principle for the optimal control problems with a standard spike variational technique and duality method. The maximum principle is applied to study a delayed linear-quadratic optimal control problem with a non-convex control domain; an optimal solution is obtained.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2020-10-18T02:42:42.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "general maximum principle",
      "stochastic systems",
      "delayed linear-quadratic optimal control problem",
      "standard spike variational technique",
      "control domain"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}