Optimal control for stochastic delay evolution equations
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stochastic partial differential equationsinfinite-dimensional systemoptimal controlstochastic maximum principlerandom coefficientsstochastic delay evolution equationsanticipated backward stochastic evolution equations
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Existence of optimal solutions to problems involving randomness (49J55) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)
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Cites work
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- A maximum principle for infinite horizon delay equations
- A revisit to \(W^n_2\)-theory of super-parabolic backward stochastic partial differential equations in \(\mathbb R^d\)
- A revisit to stochastic near-optimal controls: the critical case
- A stochastic control problem with delay arising in a pension fund model
- A variational formula for stochastic controls and some applications
- Anticipated backward stochastic differential equations
- Backward stochastic Riccati equations and infinite horizon L-Q optimal control with infinite dimensional state space and random coefficients
- EXISTENCE AND UNIQUENESS OF SOLUTIONS FOR DELAY STOCHASTIC EVOLUTION EQUATIONS
- Finite-dimensional representations for controlled diffusions with delay
- HJB Equations for the Optimal Control of Differential Equations with Delays and State Constraints, II: Verification and Optimal Feedbacks
- HJB equations for the optimal control of differential equations with delays and state constraints. I: Regularity of viscosity solutions
- Infinite horizon optimal control of forward-backward stochastic differential equations with delay
- LQ control for Itô-type stochastic systems with input delays
- Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance
- On controlled linear diffusions with delay in a model of optimal advertising under uncertainty with memory effects
- On the Backward Stochastic Riccati Equation in Infinite Dimensions
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- Optimal control of mean-field jump-diffusion systems with delay: a stochastic maximum principle approach
- Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations
- Optimal control problems for stochastic delay evolution equations in Banach spaces
- Optimal partial information control of SPDEs with delay and time-advanced backward SPDEs
- Some Remarks on the Riccati Equation Arising in an Optimal Control Problem with State- and Control-Dependent Noise
- Some Solvable Stochastic Control Problems With Delay
- Stochastic Equations in Infinite Dimensions
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Cited in
(22)- Stochastic Optimal Control with Delay in the Control I: Solving the HJB Equation through Partial Smoothing
- Stochastic control problems with delay
- Optimal control of stochastic functional neutral differential equations with time lag in control
- On the maximum principle for optimal control problems of stochastic Volterra integral equations with delay
- Partially observed nonzero-sum differential game of BSDEs with delay and applications
- Lagrange optimal controls and time optimal controls for composite fractional relaxation systems
- Well-posedness for anticipated backward stochastic Schrödinger equations
- Stochastic maximum principle for SPDEs with delay
- Optimal control problems for stochastic delay evolution equations in Banach spaces
- Singular backward stochastic Volterra integral equations in infinite dimensional spaces
- Optimal feedback control results for a second-order evolution system with finite delay
- Optimal control of forward-backward mean-field stochastic delayed systems
- Optimal control with delay of jump random processes
- Infinite horizon stochastic delay evolution equations in Hilbert spaces and stochastic maximum principle
- Optimal control problems for a neutral integro-differential system with infinite delay
- scientific article; zbMATH DE number 5220409 (Why is no real title available?)
- Conjugate duality in stochastic controls with delay
- Infinite horizon stochastic maximum principle for stochastic delay evolution equations in Hilbert spaces
- Optimal control of stochastic delay differential equations: optimal feedback controls
- Stochastic optimal control under randomly varying distributed delays
- Optimal control of mean-field jump-diffusion systems with delay: a stochastic maximum principle approach
- Positive invertibility of matrices and exponential stability of linear stochastic systems with delay
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