STOCHASTIC OPTIMAL CONTROL PROBLEM WITH DELAY
CH. A. AGAYEVATheory of Stochastic Processes Vol. 12 (28), no. 1–2, 2006, pp. 3–11
A stochastic optimal control problem with variable delay on phase and on control is considered. The maximum principle for a nonlinear stochastic control system with controlled diffussion coefficient is proved.
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