Stochastic Optimal Control with Delay in the Control II: Verification Theorem and Optimal Feedbacks

DOI10.1137/16M1073637zbMath1371.93216arXiv1607.06508OpenAlexW2951975737MaRDI QIDQ5358871

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/1607.06508

zbMATH Keywords

verification theoremoptimal feedbackssecond order Hamilton-Jacobi-Bellman equations in infinite dimensiondelay in the controloptimal control of stochastic delay equations\(\mathcal{K}\)-convergencelack of the structure condition

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Markov semigroups and applications to diffusion processes (47D07) Optimal stochastic control (93E20) Stochastic integral equations (60H20) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15)

Related Items

Pairs trading under delayed cointegration ⋮ Stochastic Control Problems with Unbounded Control Operators: Solutions Through Generalized Derivatives ⋮ Anticipated mean-field backward stochastic differential equations with jumps ⋮ Verification theorems for stochastic optimal control problems in Hilbert spaces by means of a generalized Dynkin formula ⋮ A semigroup approach to stochastic systems with input delay at the boundary ⋮ Stochastic Optimal Control with Delay in the Control I: Solving the HJB Equation through Partial Smoothing ⋮ Optimal control of path-dependent McKean-Vlasov SDEs in infinite-dimension ⋮ Stochastic Control and Differential Games with Path-Dependent Influence of Controls on Dynamics and Running Cost ⋮ Infinite horizon stochastic maximum principle for stochastic delay evolution equations in Hilbert spaces ⋮ Stochastic maximum principle for problems with delay with dependence on the past through general measures ⋮ Errata: Stochastic Optimal Control with Delay in the Control I: Solving the HJB Equation through Partial Smoothing, and Stochastic Optimal Control with Delay in the Control II: Verification Theorem and Optimal Feedbacks

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