Stochastic Optimal Control with Delay in the Control I: Solving the HJB Equation through Partial Smoothing
DOI10.1137/16M1070128zbMath1375.93140arXiv1607.06502MaRDI QIDQ5358870
Federica Masiero, Fausto Gozzi
Publication date: 22 September 2017
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1607.06502
second order Hamilton-Jacobi-Bellman equations in infinite dimension; delay in the control; lack of structure condition; optimal control of stochastic delay equations; smoothing properties of transition semigroups
49L20: Dynamic programming in optimal control and differential games
47D07: Markov semigroups and applications to diffusion processes
93E20: Optimal stochastic control
60H20: Stochastic integral equations
35R15: PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables)
