Stochastic optimal control problems with delays in the state and in the control via viscosity solutions and an economical application

arXiv2308.14506MaRDI QIDQ6448897FDOQ6448897

Authors: Filippo de Feo 

Publication date: 28 August 2023

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic functional-differential equations (34K50) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stochastic control (93E20) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15) Hamilton-Jacobi equations in optimal control and differential games (49L12)

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