Optimal control of stochastic delay differential equations: optimal feedback controls
From MaRDI portal
Hamilton-Jacobi-Bellman equationoptimal synthesisstochastic delay differential equationstochastic optimal controlverification theoremviscosity solution
Stochastic functional-differential equations (34K50) Hamilton-Jacobi equations (35F21) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15) Optimality conditions for problems involving randomness (49K45) Hamilton-Jacobi equations in optimal control and differential games (49L12) Dynamic programming in optimal control and differential games (49L20) Optimal feedback synthesis (49N35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
Recommendations
- Optimal control of stochastic differential delay equations with application in economics
- Optimal control for stochastic delay evolution equations
- Optimal control of stochastic delay differential equations and applications to path-dependent financial and economic models
- scientific article; zbMATH DE number 1234481
- Stochastic optimal control with delay in the control. II: Verification theorem and optimal feedbacks
Cites work
- A class of infinite-horizon stochastic delay optimal control problems and a viscosity solution to the associated HJB equation
- A Corrected Proof of the Stochastic Verification Theorem within the Framework of Viscosity Solutions
- A global maximum principle for stochastic optimal control problems with delay and applications
- A notion of viscosity solutions to second-order Hamilton-Jacobi-Bellman equations with delays
- A remark on regularization in Hilbert spaces
- A type of general forward-backward stochastic differential equations and applications
- Anticipated backward stochastic differential equations
- Comparison of viscosity solutions of fully nonlinear degenerate parabolic path-dependent PDEs
- Controlled Markov processes and viscosity solutions
- Delay optimal control and viscosity solutions to associated Hamilton-Jacobi-Bellman equations
- Dynamic programming for optimal control problems with delays in the control variable
- Errata to: ``Stochastic optimal control with delay in the control. I: Solving the HJB equation through partial smoothing and ``Stochastic optimal control with delay in the control. II: Verification theorem and optimal feedbacks
- Erratum: ``A corrected proof of the stochastic verification theorem within the framework of viscosity solutions
- Finite Dimensional Approximations of Hamilton–Jacobi–Bellman Equations for Stochastic Particle Systems with Common Noise
- Finite-dimensional representations for controlled diffusions with delay
- Generically distributed investments on flexible projects and endogenous growth
- Hamilton-Jacobi-Bellman equations for the optimal control of a state equation with memory
- 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
- scientific article; zbMATH DE number 3646080 (Why is no real title available?)
- scientific article; zbMATH DE number 2134039 (Why is no real title available?)
- scientific article; zbMATH DE number 5012789 (Why is no real title available?)
- scientific article; zbMATH DE number 1245556 (Why is no real title available?)
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- Introduction to mathematical logic
- Maximum principle for the stochastic optimal control problem with delay and application
- Necessary and sufficient conditions for optimal control of semilinear stochastic partial differential equations
- On viscosity solutions of path dependent PDEs
- Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
- Optimal control of stochastic delay differential equations and applications to path-dependent financial and economic models
- Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations
- Optimal policy and consumption smoothing effects in the time-to-build AK model
- Optimal portfolio choice with path dependent benchmarked labor income: a mean field model
- Optimal portfolio choice with path dependent labor income: the infinite horizon case
- Partial regularity of viscosity solutions for a class of Kolmogorov equations arising from mathematical finance
- Partial smoothing of delay transition semigroups acting on special functions
- Path-dependent equations and viscosity solutions in infinite dimension
- Path-dependent Hamilton-Jacobi equations in infinite dimensions
- Path-dependent Hamilton-Jacobi equations with super-quadratic growth in the gradient and the vanishing viscosity method
- Representation and control of infinite dimensional systems
- Robust portfolio choice with sticky wages
- Solving optimal growth models with vintage capital: The dynamic programming approach
- Stochastic Equations in Infinite Dimensions
- Stochastic equations with delay: optimal control via BSDEs and regular solutions of Hamilton-Jacobi-Bellman equations
- Stochastic maximum principle for problems with delay with dependence on the past through general measures
- Stochastic Optimal Control in Infinite Dimension
- Stochastic Optimal Control with Delay in the Control I: Solving the HJB Equation through Partial Smoothing
- Stochastic optimal control with delay in the control. II: Verification theorem and optimal feedbacks
- Value function and optimality conditions for semilinear control problems
- Verification theorem and construction of -optimal controls for control of abstract evolution equations
- Verification theorems for stochastic optimal control problems in Hilbert spaces by means of a generalized Dynkin formula
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
- Viscosity solutions of fully nonlinear second-order equations and optimal stochastic control in infinite dimensions. I: The case of bounded stochastic evolutions
- Viscosity solutions of path-dependent PDEs with randomized time
- When Are HJB-Equations in Stochastic Control of Delay Systems Finite Dimensional?
Cited in
(3)- Approximation of optimal feedback controls for stochastic reaction-diffusion equations
- Stochastic optimal control in Hilbert spaces: \(C^{1,1}\) regularity of the value function and optimal synthesis via viscosity solutions
- Anticipated backward stochastic differential equations with quadratic growth: multidimensional results
This page was built for publication: Optimal control of stochastic delay differential equations: optimal feedback controls
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6667474)
