Find in Library

Risk-sensitive maximum principle and verification theorem for controlled system with delay is obtained by virtue of classical convex variational technique. The prime feature in the research is that risk-sensitive parameter <inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semantics><mi>ϑ</mi></semantics></math></inline-formula> seriously affects adjoint equation and variational inequality. Moreover, a verification theorem of optimality is derived under some concavity conditions. An example is given to illustrate our theoretical result.