A general maximum principle for optimal control of stochastic differential delay systems

Abstract: In this paper, we solve an open problem and obtain a general maximum principle for a stochastic optimal control problem where the control domain is an arbitrary non-empty set and all the coefficients (especially the diffusion term and the terminal cost) contain the control and state delay. In order to overcome the difficulty of dealing with the cross term of state and its delay in the variational inequality, we propose a new method: transform a delayed variational equation into a Volterra integral equation without delay, and introduce novel first-order, second-order adjoint equations via the backward stochastic Volterra integral equation theory. Finally we express these two kinds of adjoint equations in more compact anticipated backward stochastic differential equation types for several special yet typical control systems.