Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations
Publication:3021251
DOI10.1239/aap/1308662493zbMath1217.93183MaRDI QIDQ3021251
Agnès Sulem, Tu-Sheng Zhang, Bernt Øksendal
Publication date: 22 July 2011
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aap/1308662493
optimal control; maximum principle; Hamiltonian; Lévy process; stochastic delay equation; adjoint process; time-advanced BSDE
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
35R60: PDEs with randomness, stochastic partial differential equations
60H20: Stochastic integral equations
49J55: Existence of optimal solutions to problems involving randomness
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Adapted solution of a backward stochastic differential equation
- Maximum principle for the stochastic optimal control problem with delay and application
- Optimal control with partial information for stochastic Volterra equations
- On controlled linear diffusions with delay in a model of optimal advertising under uncertainty with memory effects
- On solutions of backward stochastic differential equations with jumps and applications
- Anticipated backward stochastic differential equations
- BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
- Some Solvable Stochastic Control Problems With Delay
- Dynamic programming in stochastic control of systems with delay
- When Are HJB-Equations in Stochastic Control of Delay Systems Finite Dimensional?
- Stochastic Partial Differential Equations with Levy Noise
- Applied stochastic control of jump diffusions