Nearly optimal state feedback controls for delay differential equations with a small parameter (Q2367634)

This paper considers the nearly optimal control of differential systems with delay that are driven by wideband noise and which contain a small parameter that influences the dynamics. A probabilistic approach is taken whereby the system to be controlled is approximated by a limit system (a diffusion process). Optimal controls are then derived for the limit system and are shown to be nearly optimal for the actual system using the method of weak convergence.