scientific article; zbMATH DE number 5012789

MaRDI QIDQ3375703zbMATH OpenFDO

Authors Carlo Marinelli, Fausto Gozzi

Publication date 16 March 2006

Full work available at URL https://arxiv.org/abs/math/0412403

Mathematics Subject Classification ID

Stochastic systems in control theory (general) (93E03) Optimal stochastic control (93E20)

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Cited in

(59)

• On controlled linear diffusions with delay in a model of optimal advertising under uncertainty with memory effects
• Optimal dynamic advertising policies in the presence of continuously distributed time lags
• Systemic risk and stochastic games with delay
• Verification theorems for stochastic optimal control problems in Hilbert spaces by means of a generalized Dynkin formula
• Optimal control of stochastic functional neutral differential equations with time lag in control
• Recurrent neural networks for stochastic control problems with delay
• Stochastic maximum principle for problems with delay with dependence on the past through general measures
• Crandall-Lions viscosity solutions for path-dependent PDEs: the case of heat equation
• Optimal control problem of variable-order delay system of advertising procedure: numerical treatment
• Maximum principle for stochastic optimal control problem with distributed delays
• Stochastic optimal control problem in advertising model with delay
• The effects of technological shocks in an optimal goodwill model with a random product life cycle
• Finite-dimensional representations for controlled diffusions with delay
• The stochastic goodwill problem
• Boundary value problems in stochastic optimal control of advertising
• Stochastic recursive optimal control problem with time delay and applications
• The existence of the solution to the control problem of advertising expenses with distributed lag
• Maximum principle for non-zero sum stochastic differential game with discrete and distributed delays
• Linear-quadratic stochastic delayed control and deep learning resolution
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• Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations
• An infinite-dimensional approach to path-dependent Kolmogorov equations
• An infinite time horizon portfolio optimization model with delays
• On some optimal control problems governed by a state equation with memory
• Hamilton-Jacobi-Bellman equations for the optimal control of a state equation with memory
• Optimal control of production and marketing systems with distributed time lags
• A class of infinite-horizon stochastic delay optimal control problems and a viscosity solution to the associated HJB equation
• Stochastic control with delayed information and related nonlinear master equation
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• Stochastic Optimal Control with Delay in the Control I: Solving the HJB Equation through Partial Smoothing
• Stochastic optimal control with delay in the control. II: Verification theorem and optimal feedbacks
• Finite horizon stochastic H₂/H_ control with discrete and distributed delays
• Stochastic Control Problems with Unbounded Control Operators: Solutions Through Generalized Derivatives
• A stochastic goodwill model depending on quality level and advertising
• Optimal control in linear-quadratic stochastic advertising models with memory
• Optimal control and stabilization for linear continuous-time mean-field systems with delay
• Classical solution of path-dependent mean-field semilinear PDEs
• Stochastic control/stopping problem with expectation constraints
• Recent developments in machine learning methods for stochastic control and games
• Viscosity solutions to second order elliptic Hamilton-Jacobi-Bellman equations with infinite delay
• An optimal advertising model with carryover effect and mean field terms
• Optimal control of stochastic delay differential equations: optimal feedback controls
• Linear-quadratic mean field games in Hilbert spaces
• 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
• Stochastic optimal control in Hilbert spaces: \(C^{1,1}\) regularity of the value function and optimal synthesis via viscosity solutions
• Necessary and sufficient conditions of open-loop and closed-loop solvability for delayed stochastic LQ optimal control problems
• Lifting partial smoothing to solve HJB equations and stochastic control problems
• Wage rigidity and retirement in optimal portfolio choice
• Optimal control in infinite-dimensional spaces and economic modeling: state of the art and perspectives
• -maximum principle for stochastic delayed control problems with jump-diffusion processes and application to social network-based advertising model
• Mild solutions of semilinear elliptic equations in Hilbert spaces
• Mean field games incorporating carryover effects: optimizing advertising models
• Optimal investment models with vintage capital: dynamic programming approach

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