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Journal of Applied Mathematics
Volume 2013 (2013), Article ID 964765, 10 pages
Research Article

Maximum Principle for Delayed Stochastic Linear-Quadratic Control Problem with State Constraint

School of Mathematics and Quantitative Economics, Shandong University of Finance and Economics, Jinan 250014, China

Received 23 May 2013; Accepted 28 November 2013

Academic Editor: Donal O'Regan

Copyright © 2013 Feng Zhang. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


This paper is concerned with one kind of delayed stochastic linear-quadratic optimal control problems with state constraints. The control domain is not necessarily convex and the control variable does not enter the diffusion coefficient. Necessary conditions in the form of maximum principle as well as sufficient conditions are established.