When Are HJB-Equations in Stochastic Control of Delay Systems Finite Dimensional?
From MaRDI portal
Publication:4804874
DOI10.1081/SAP-120020430zbMath1052.60051OpenAlexW1974398766MaRDI QIDQ4804874
Bjørnar Larssen, Nils Henrik Risebro
Publication date: 28 April 2003
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1081/sap-120020430
Hamilton-Jacobi-Bellman equationviscosity solutionstochastic control problemstochastic differential delay equation
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic functional-differential equations (34K50) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
Related Items
Systemic risk and stochastic games with delay ⋮ An infinite time horizon portfolio optimization model with delays ⋮ A new method to solve the Hamilton-Jacobi-Bellman equation for a stochastic portfolio optimization model with boundary memory ⋮ Value functions in a regime switching jump diffusion with delay market model ⋮ Optimal stopping of stochastic differential equations with delay driven by Lévy noise ⋮ Optimal investment mean-field and N-player games with memory effect and relative performance competition ⋮ Stochastic minimax optimal time-delay state feedback control of uncertain quasi-integrable Hamiltonian systems ⋮ 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 ⋮ An analytic approach to stochastic Volterra equations with completely monotone kernels ⋮ Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance ⋮ A stochastic control problem with delay arising in a pension fund model ⋮ Time discretisation and rate of convergence for the optimal control of continuous-time stochastic systems with delay ⋮ Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations ⋮ Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs. I. ⋮ Hamilton-Jacobi-Bellman equations for the optimal control of a state equation with memory ⋮ An optimal stopping problem in a diffusion-type model with delay ⋮ Stochastic optimal time-delay control of quasi-integrable Hamiltonian systems ⋮ Optimal control with partial information for stochastic Volterra equations ⋮ Recurrent neural networks for stochastic control problems with delay ⋮ Conjugate duality in stochastic controls with delay ⋮ Multivalued stochastic delay differential equations and related stochastic control problems ⋮ Crandall-Lions viscosity solutions for path-dependent PDEs: the case of heat equation ⋮ On controlled linear diffusions with delay in a model of optimal advertising under uncertainty with memory effects ⋮ Finite-dimensional representations for controlled diffusions with delay ⋮ Viscosity Solution of Optimal Stopping Problem for Stochastic Systems with Bounded Memory ⋮ Stochastic control problems with delay ⋮ Stochastic recursive optimal control problem with time delay and applications
Cites Work
- Approximation schemes for viscosity solutions of Hamilton-Jacobi equations
- Optimal control of linear stochastic systems with applications to time lag systems
- Some Solvable Stochastic Control Problems With Delay
- Dynamic programming in stochastic control of systems with delay
- On Feedback Control of Linear Stochastic Systems
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
