Stochastic equations with delay: optimal control via BSDEs and regular solutions of Hamilton-Jacobi-Bellman equations

DOI10.1137/080730354MaRDI QIDQ3083237zbMATH OpenOpenAlexFDO

Authors Marco Fuhrman, Federica Masiero, 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 equationsoptimal stochastic controlquadratic variationstochastic delay differential equations

Mathematics Subject Classification ID

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

Abstract: We consider an Ito stochastic differential equation with delay, driven by brownian motion, whose solution, by an appropriate reformulation, defines a Markov process $X$ with values in a space of continuous functions $mathbfC$, with generator $mathcalL$. We then consider a backward stochastic differential equation depending on $X$, with unknown processes $(Y,Z)$, and we study properties of the resulting system, in particular we identify the process $Z$ as a deterministic functional of $X$. We next prove that the forward-backward system provides a suitable solution to a class of parabolic partial differential equations on the space $mathbfC$ driven by $mathcalL$, and we apply this result to prove a characterization of the fair price and the hedging strategy for a financial market with memory effects. We also include applications to optimal stochastic control of differential equation with delay: in particular we characterize optimal controls as feedback laws in terms the process $X$.

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Cited in

(37)

• Partial smoothing of delay transition semigroups acting on special functions
• Stochastic Optimal Control with Delay in the Control I: Solving the HJB Equation through Partial Smoothing
• Path-dependent equations and viscosity solutions in infinite dimension
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• Anticipated mean-field backward stochastic differential equations with jumps
• Backward stochastic differential equations with time delayed generators -- results and counterexamples
• The existence and uniqueness of the solution for nonlinear Kolmogorov equations
• Decoupled mild solutions of path-dependent PDEs and integro PDEs represented by BSDEs driven by cadlag martingales
• Infinite horizon optimal control of stochastic delay evolution equations in Hilbert spaces
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• Optimal control problem for stochastic evolution equations in Hilbert spaces
• Path-dependent Hamilton-Jacobi equations in infinite dimensions
• Stochastic systems with memory and jumps
• The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls
• A BSDE with delayed generator approach to pricing under counterparty risk and collateralization
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• Gâteaux type path-dependent PDEs and BSDEs with Gaussian forward processes
• Viscosity solutions of path-dependent PDEs with randomized time
• Optimal control problems for stochastic delay evolution equations in Banach spaces
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• Stochastic recursive optimal control problem with time delay and applications
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• Crandall-Lions viscosity solutions for path-dependent PDEs: the case of heat equation
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• Optimal control for stochastic delay evolution equations
• A class of infinite-horizon stochastic delay optimal control problems and a viscosity solution to the associated HJB equation
• An infinite-dimensional approach to path-dependent Kolmogorov equations
• On the infinite-dimensional representation of stochastic controlled systems with delayed control in the diffusion term
• A nonlinear Kolmogorov equation for stochastic functional delay differential equations with jumps
• Optimal control of path-dependent McKean-Vlasov SDEs in infinite-dimension
• A second-order maximum principle for singular optimal controls with recursive utilities of stochastic delay systems
• The existence and uniqueness of the solution for nonlinear elliptic equations in Hilbert spaces
• A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance
• Finite-dimensional representations for controlled diffusions with delay
• State constrained control problems in Banach lattices and applications
• Optimal control of stochastic delay differential equations: optimal feedback controls
• HJB Equations in Infinite Dimension and Optimal Control of Stochastic Evolution Equations Via Generalized Fukushima Decomposition

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