Stochastic Equations with Delay: Optimal Control via BSDEs and Regular Solutions of Hamilton–Jacobi–Bellman Equations

DOI10.1137/080730354zbMath1213.60109arXiv0806.1837OpenAlexW2161582152MaRDI QIDQ3083237

Federica Masiero, Marco Fuhrman, Gianmario Tessitore

Publication date: 21 March 2011

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0806.1837

zbMATH Keywords

backward stochastic differential equationsquadratic variationoptimal stochastic controlstochastic delay differential equations

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic functional-differential equations (34K50) Stochastic calculus of variations and the Malliavin calculus (60H07)

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