  In this paper we develop necessary conditions for optimality, in the form of
the stochastic Pontryagin maximum principle, for controlled equations with
pointwise delay in the state and with control dependent noise, in the general
case of controls $u \in U$ with $U$ not necessarily convex. The maximum
principle is formulated by means of first and second order adjoint BSDEs. We
also outline how to deal with control problems with pointwise delay both in the
state and in the control.
