Finite Difference Approximations for Stochastic Control Systems with Delay

DOI10.1080/07362990802006980zbMath1147.93027OpenAlexW2142702534MaRDI QIDQ3506296

Moustapha Pemy, Mou-Hsiung Chang, Tao Pang

Publication date: 12 June 2008

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990802006980

zbMATH Keywords

stochastic controlfinite difference approximationviscosity solutionsstochastic functional differential equations

Mathematics Subject Classification ID

Related Items (7)

Discrete Approximations of Controlled Stochastic Systems with Memory: A Survey ⋮ An infinite time horizon portfolio optimization model with delays ⋮ An approximation scheme for Black-Scholes equations with delays ⋮ Stochastic minimax optimal time-delay state feedback control of uncertain quasi-integrable Hamiltonian systems ⋮ A stochastic control problem with delay arising in a pension fund model ⋮ Stochastic optimal time-delay control of quasi-integrable Hamiltonian systems ⋮ Optimal control of stochastic functional differential equations with a bounded memory

Cites Work

• Unnamed Item
• Unnamed Item
• Theory of functional differential equations. 2nd ed
• Optimal control of stochastic systems with aftereffect
• Some Solvable Stochastic Control Problems With Delay
• Dynamic programming in stochastic control of systems with delay

This page was built for publication: Finite Difference Approximations for Stochastic Control Systems with Delay