Finite-dimensional representations for controlled diffusions with delay

DOI10.1007/S00245-014-9256-2MaRDI QIDQ2340993zbMATH OpenOpenAlexFDO

Authors Salvatore Federico, Peter Tankov

Publication date 21 April 2015

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1310.4299

zbMATH Keywords

stochastic optimal controlLaguerre polynomialsoptimal stopping problemsstochastic delay differential equationsMarkovian representation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

Abstract: We study stochastic delay differential equations (SDDE) where the coefficients depend on the moving averages of the state process. As a first contribution, we provide sufficient conditions under which a linear path functional of the solution of a SDDE admits a finite-dimensional Markovian representation. As a second contribution, we show how approximate finite-dimensional Markovian representations may be constructed when these conditions are not satisfied, and provide an estimate of the error corresponding to these approximations. These results are applied to optimal control and optimal stopping problems for stochastic systems with delay.

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Cited in

(10)

• Verification theorems for stochastic optimal control problems in Hilbert spaces by means of a generalized Dynkin formula
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