Optimal control of stochastic functional differential equations with a bounded memory
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Cites work
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- Finite Difference Approximations for Stochastic Control Systems with Delay
- scientific article; zbMATH DE number 3783507 (Why is no real title available?)
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- scientific article; zbMATH DE number 3505708 (Why is no real title available?)
- scientific article; zbMATH DE number 2034236 (Why is no real title available?)
- Optimization of functions on certain subsets of Banach spaces
- Theory of functional differential equations. 2nd ed
- User’s guide to viscosity solutions of second order partial differential equations
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- Stochastic control of hereditary systems and applications.
- The existence and uniqueness of the solution for nonlinear elliptic equations in Hilbert spaces
- Patterns in random walks and Brownian motion
- Discrete approximations of controlled stochastic systems with memory: a survey
- Viscosity solution of optimal stopping problem for stochastic systems with bounded memory
- An infinite time horizon portfolio optimization model with delays
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- Optimal control of stochastic differential delay equations with application in economics
- Equilibrium investment-reinsurance strategy with delay and common shock dependence under Heston's SV model
- Path-dependent Hamilton-Jacobi-Bellman equations related to controlled stochastic functional differential systems
- An approximation scheme for Black-Scholes equations with delays
- On the existence of the optimal control for stochastic functional differential equations subject to external disturbances
- Deep-control of memory via stochastic optimal control and deep learning
- Time-consistent reinsurance-investment hybrid game with delay and default under jump-diffusion model
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