Finite-dimensional representations for controlled diffusions with delay

DOI10.1007/s00245-014-9256-2zbMath1310.60078arXiv1310.4299OpenAlexW2059883001MaRDI QIDQ2340993

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) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (6)

Verification theorems for stochastic optimal control problems in Hilbert spaces by means of a generalized Dynkin formula ⋮ Optimal control for stochastic delay evolution equations ⋮ Infinite horizon stochastic delay evolution equations in Hilbert spaces and stochastic maximum principle ⋮ Moving average options: machine learning and Gauss-Hermite quadrature for a double non-Markovian problem ⋮ Volatility Targeting Using Delayed Diffusions ⋮ International borrowing without commitment and informational lags: choice under uncertainty

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
• A stochastic control problem with delay arising in a pension fund model
• Optimal stopping of stochastic differential equations with delay driven by Lévy noise
• Stochastic control problems with delay
• Representation and control of infinite dimensional systems
• Discretisation of stochastic control problems for continuous time dynamics with delay
• Path dependent volatility
• Time discretisation and rate of convergence for the optimal control of continuous-time stochastic systems with delay
• On controlled linear diffusions with delay in a model of optimal advertising under uncertainty with memory effects
• Functional analysis, Sobolev spaces and partial differential equations
• Invariant manifolds for weak solutions to stochastic equations
• Existence of invariant manifolds for stochastic equations in infinite dimension
• A concise course on stochastic partial differential equations
• An optimal stopping problem in a diffusion-type model with delay
• Controlled Markov processes and viscosity solutions
• Some Solvable Stochastic Control Problems With Delay
• Stochastic Differential Equations in Infinite Dimensions
• Stochastic Equations with Delay: Optimal Control via BSDEs and Regular Solutions of Hamilton–Jacobi–Bellman Equations
• HJB Equations for the Optimal Control of Differential Equations with Delays and State Constraints, I: Regularity of Viscosity Solutions
• HJB Equations for the Optimal Control of Differential Equations with Delays and State Constraints, II: Verification and Optimal Feedbacks
• Stochastic Equations in Infinite Dimensions
• The Infinite Time Quadratic Control Problem for Linear Systems with State and Control Delays: An Evolution Equation Approach
• Complete Models with Stochastic Volatility
• One-Parameter Semigroups for Linear Evolution Equations
• When Are HJB-Equations in Stochastic Control of Delay Systems Finite Dimensional?
• A Finite-Dimensional Approximation for Pricing Moving Average Options
• Numerical approximations for nonlinear stochastic systems with delays

This page was built for publication: Finite-dimensional representations for controlled diffusions with delay