Conjugate duality in stochastic controls with delay

DOI10.1017/APR.2017.32MaRDI QIDQ5233199zbMATH OpenOpenAlexFDO

Authors Zimeng Wang, Huiling Le, David J. Hodge

Publication date 16 September 2019

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL http://eprints.nottingham.ac.uk/44290/

zbMATH Keywords

stochastic maximum principlestochastic delay differential equationanticipated backward stochastic differential equationstochastic optimal control with delayconjugate convex function

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Optimal stochastic control (93E20) Duality theory (optimization) (49N15)

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Cites work

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• Convex Analysis
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• Dynamic programming in stochastic control of systems with delay
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• Maximum principle for the stochastic optimal control problem with delay and application
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• Some Solvable Stochastic Control Problems With Delay
• When Are HJB-Equations in Stochastic Control of Delay Systems Finite Dimensional?

Cited in

(1)

• Duality theorems for convex problems of Lagrange with time-delay

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