Stochastic Equations with Delay: Optimal Control via BSDEs and Regular Solutions of Hamilton–Jacobi–Bellman Equations
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Publication:3083237
DOI10.1137/080730354zbMath1213.60109arXiv0806.1837MaRDI QIDQ3083237
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
backward stochastic differential equations; quadratic variation; optimal stochastic control; stochastic delay differential equations
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
34K50: Stochastic functional-differential equations
60H07: Stochastic calculus of variations and the Malliavin calculus
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