Neutral Backward Stochastic Functional Differential Equations and Their Application

Abstract

In this paper we are concerned with a new type of backward equations with anticipation which we call neutral backward stochastic functional differential equations. We obtain the existence and uniqueness and prove a comparison theorem. As an application, we discuss the optimal control of neutral stochastic functional differential equations, establish a Pontryagin maximum principle, and give an explicit optimal value for the linear optimal control.