Dear all,
On JUNE 18th, at the Department of Mathematics of the University of Bologna, room Vitali, and online at this LINK, the following seminar will take place: “MAXIMUM PRINCIPLE FOR OPTIMAL CONTROL PROBLEMS WITH DELAYS IN THE NON CONVEX CASE”
as part of the cycle Stochastics and Applications.
ABSTRACT:
We establish a stochastic maximum principle for controlled stochastic differential equations with delay and control-dependent noise, without convexity assumptions on the control space. The cost functional depends on both present and delayed states, modeled via general finite measures. For measures with square-integrable densities, we employ infinite-dimensional reformulation and BSDE techniques; for general measures, we apply anticipated BSDEs and weak convergence methods. We further analyze the case of delay measures with $L^p$-densities ($p \in (1,2)$), deriving a generalized mild backward equation beyond Hilbertian settings.