Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: A Global Maximum Principle for the Stochastic Optimal Control Problem
  with Delay   In this paper, an open problem is solved, for the stochastic optimal control
problem with delay where the control domain is nonconvex and the diffusion term
contains both control and its delayed term. Inspired by previous results by \O
ksendal and Sulem [{\it A maximum principle for optimal control of stochastic
systems with delay, with applications to finance. In J. M. Menaldi, E. Rofman,
A. Sulem (Eds.), Optimal control and partial differential equations, ISO Press,
Amsterdam, 64-79, 2000}] and Chen and Wu [{\it Maximum principle for the
stochastic optimal control problem with delay and application, Automatica, 46,
1074-1080, 2010}], Peng's general stochastic maximum principle [{\it A general
stochastic maximum principle for optimal control problems, SIAM J. Control
Optim., 28, 966-979, 1990}] is generalized to the time delayed case, which is
called the global maximum principle. A new backward random differential
equation is introduced to deal with the cross terms, when applying the duality
technique. Comparing with the classical result, the maximum condition contains
an indicator function, in fact it is the characteristic of the stochastic
optimal control problem with delay. The multi-dimensional case and a solvable
linear-quadratic example are also discussed.

0
The categories of this paper are: hep-ph
15
The categories of this paper are: nucl-ex
19
The categories of this paper are: eess
28
The categories of this paper are: alg-geom
8
The categories of this paper are: hep-ex
30
The categories of this paper are: q-alg
33
The categories of this paper are: plasm-ph
9
The categories of this paper are: nlin
22
The categories of this paper are: chao-dyn
18
The categories of this paper are: econ
35
The categories of this paper are: mtrl-th
37
The categories of this paper are: supr-con
14
The categories of this paper are: math-ph
29
The categories of this paper are: funct-an
21
The categories of this paper are: adap-org
23
The categories of this paper are: solv-int