Stochastic control and differential games with path-dependent influence of controls on dynamics and running cost
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Publication:4630680
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)
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.
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Cited in
(16)- Minimax and viscosity solutions of Hamilton-Jacobi-Bellman equations for time-delay systems
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