Conjugate duality in stochastic controls with delay

DOI10.1017/APR.2017.32zbMATH Open1429.93420OpenAlexW2748083807MaRDI QIDQ5233199FDOQ5233199

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/

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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)

Cites Work

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• Complete Models with Stochastic Volatility
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• Functional Itô calculus
• Optimal control for stochastic delay evolution equations
• Duality theorems for convex problems with time delay

Cited In (1)

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

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