Finite-dimensional representations for controlled diffusions with delay
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Publication:2340993
DOI10.1007/S00245-014-9256-2zbMATH Open1310.60078arXiv1310.4299OpenAlexW2059883001MaRDI QIDQ2340993FDOQ2340993
Authors: Salvatore Federico, Peter Tankov 
Publication date: 21 April 2015
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1310.4299
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- Verification theorems for stochastic optimal control problems in Hilbert spaces by means of a generalized Dynkin formula
- Optimal control for stochastic delay evolution equations
- Moving average options: machine learning and Gauss-Hermite quadrature for a double non-Markovian problem
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- On the infinite-dimensional representation of stochastic controlled systems with delayed control in the diffusion term
- International borrowing without commitment and informational lags: choice under uncertainty
- Optimal control of stochastic delay differential equations: optimal feedback controls
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