Near Optimality of Linear Delayed Doubly Stochastic Control Problem

Abstract

In this paper, we study a kind of near optimal control problem which is described by linear quadratic doubly stochastic differential equations with time delay. We consider the near optimality for the linear delayed doubly stochastic system with convex control domain. We discuss the case that all the time delay variables are different. We give the maximum principle of near optimal control for this kind of time delay system. The necessary condition for the control to be near optimal control is deduced by Ekeland’s variational principle and some estimates on the state and the adjoint processes corresponding to the system.