This paper deals with the optimal control problem in which the controlled system isdescribed by a fully coupled anticipated forward-backward stochastic differential delayedequation. The maximum principle for this problem is obtained under the assumption that thediffusion coefficient does not contain the control variables and the control domain is notnecessarily convex. Both the necessary and sufficient conditions of optimality are proved.As illustrating examples, two kinds of linear quadratic control problems are discussed andboth optimal controls are derived explicitly.
