Maximum principle for near-optimality of stochastic delay control problem

Abstract

Abstract This paper is concerned with near-optimality for stochastic control problems of linear delay systems with convex control domain and controlled diffusion. Necessary and sufficient conditions for a control to be near-optimal are established by Pontryagin’s maximum principle together with Ekeland’s variational principle.

Keywords

• maximum principle
• near-optimal control
• stochastic differential delay equation
• Ekeland’s variational principle