Xunyu, Zhou, Maximum Principle of Stochastic Controlled Systems of Functional Type, Acta Mathematica Sinica, New Series Chinese Journal of Mathematics, 7(3), 1991, pp. 193-204
This paper studies the optimal controls of stochastic systems of functional type with I end constraints. The systems considered may be degenerate and the control region may be nonconvex. A stochastic maximum principle is derived. The method is based on the idea that stochastic systems are essentially infinite dimensional systems.