Stochastic control and differential games with path-dependent influence of controls on dynamics and running cost

DOI10.1137/18M1186186zbMATH Open1415.93295arXiv1611.00589OpenAlexW2934880396WikidataQ128095608 ScholiaQ128095608MaRDI QIDQ4630680FDOQ4630680

Authors: Yuri F. Saporito 

Publication date: 23 April 2019

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

Abstract: In this paper, we consider the functional It^o calculus framework to find a path-dependent version of the Hamilton-Jacobi-Bellman equation for stochastic control problems that feature dynamics and running cost that depend on the path of the control. We also prove a Dynamic Programming Principle for such problems. We apply our results to path-dependence of the delay type. We further study Stochastic Differential Games in this context.

Full work available at URL: https://arxiv.org/abs/1611.00589

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zbMATH Keywords

delaystochastic controlstochastic gamespath-dependencefunctional Itô calculus

Mathematics Subject Classification ID

Dynamic programming (90C39) Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic games, stochastic differential games (91A15) Optimal stochastic control (93E20)

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Cited In (16)

• Minimax and viscosity solutions of Hamilton-Jacobi-Bellman equations for time-delay systems
• On differentiability of solutions of fractional differential equations with respect to initial data
• Pairs trading under delayed cointegration
• Path-dependent Hamilton-Jacobi equations: the minimax solutions revised
• Path-dependent deep Galerkin method: a neural network approach to solve path-dependent partial differential equations
• Time-inconsistency with rough volatility
• Classical solution of path-dependent mean-field semilinear PDEs
• Dynamic Programming Principle and Hamilton--Jacobi--Bellman Equations for Fractional-Order Systems
• Path-dependent Hamilton-Jacobi-Bellman equations related to controlled stochastic functional differential systems
• Connections between stochastic control and dynamic games
• Stochastic control/stopping problem with expectation constraints
• What if we knew what the future brings? Optimal investment for a frontrunner with price impact
• Hamilton-Jacobi equations for neutral-type systems: inequalities for directional derivatives of minimax solutions
• On viscosity solutions of path-dependent Hamilton-Jacobi-Bellman-Isaacs equations for fractional-order systems
• Viscosity Solutions of Hamilton--Jacobi--Bellman--Isaacs Equations for Time-Delay Systems
• Equivalence of minimax and viscosity solutions of path-dependent Hamilton-Jacobi equations

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