Partial smoothing of delay transition semigroups acting on special functions
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Publication:2669930
Stochastic functional-differential equations (34K50) PDEs with randomness, stochastic partial differential equations (35R60) One-parameter semigroups and linear evolution equations (47D06) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)
Abstract: It is well known that the transition semigroup of an Ornstein Uhlenbeck process with delay is not strong Feller for small times, so it has no regularizing effects when acting on bounded and continuous functions. In this paper we study regularizing properties of this transition semigroup when acting on special functions of the past trajectory. With this regularizing property, we are able to prove existence and uniqueness of a mild solution for a special class of semilinear Kolmogorov equations; we apply these results to a stochastic optimal control problem.
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Cited in
(4)- Optimal control of stochastic delay differential equations: optimal feedback controls
- Representation of stochastic optimal control problems with delay in the control variable
- Stochastic optimal control problems with delays in the state and in the control via viscosity solutions and applications to optimal advertising and optimal investment problems
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