Finite Difference Approximations for Stochastic Control Systems with Delay

DOI10.1080/07362990802006980MaRDI QIDQ3506296zbMATH OpenOpenAlexFDO

Authors Mou-Hsiung Chang, Tao Pang, Moustapha Pemy

Publication date 12 June 2008

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362990802006980

zbMATH Keywords

finite difference approximationstochastic controlstochastic functional differential equationsviscosity solutions

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Control/observation systems governed by functional-differential equations (93C23) Stochastic systems in control theory (general) (93E03)

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Cites work

• Dynamic programming in stochastic control of systems with delay
• scientific article; zbMATH DE number 1577097 (Why is no real title available?)
• scientific article; zbMATH DE number 3936125 (Why is no real title available?)
• Optimal control of stochastic systems with aftereffect
• Some Solvable Stochastic Control Problems With Delay
• Theory of functional differential equations. 2nd ed

Cited in

(14)

• Finite-dimensional representations for controlled diffusions with delay
• Discrete approximations of controlled stochastic systems with memory: a survey
• An infinite time horizon portfolio optimization model with delays
• Numerical approximations for stochastic systems with delays in the state and control
• Stochastic minimax optimal time-delay state feedback control of uncertain quasi-integrable Hamiltonian systems
• scientific article; zbMATH DE number 1104519 (Why is no real title available?)
• Controlled nonlinear stochastic delay equations: Part II: Approximations and pipe-flow representations
• A stochastic control problem with delay arising in a pension fund model
• Optimal control of stochastic functional differential equations with a bounded memory
• Stochastic optimal time-delay control of quasi-integrable Hamiltonian systems
• An approximation scheme for Black-Scholes equations with delays
• Optimal time-delay control for multi-degree-of-freedom nonlinear systems excited by harmonic and wide-band noises
• Deep-control of memory via stochastic optimal control and deep learning
• Numerical methods for controlled stochastic delay systems

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