Discretisation of stochastic control problems for continuous time dynamics with delay

DOI10.1016/J.CAM.2006.02.062zbMATH Open1123.93088arXivmath/0602385OpenAlexW2137068271MaRDI QIDQ885948FDOQ885948

Markus Reiß, Markus Fischer

Publication date: 14 June 2007

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Abstract: As a main step in the numerical solution of control problems in continuous time, the controlled process is approximated by sequences of controlled Markov chains, thus discretising time and space. A new feature in this context is to allow for delay in the dynamics. The existence of an optimal strategy with respect to the cost functional can be guaranteed in the class of relaxed controls. Weak convergence of the approximating extended Markov chains to the original process together with convergence of the associated optimal strategies is established.

Full work available at URL: https://arxiv.org/abs/math/0602385

zbMATH Keywords

stochastic optimal controlfinite-difference approximationstochastic delay differential equations

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Optimal stochastic control (93E20)

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Cited In (7)

• A stochastic control problem with delay arising in a pension fund model
• Stochastic control problems with delay
• Discrete Approximations of Controlled Stochastic Systems with Memory: A Survey
• A Constructive Approach to Existence of Equilibria in Time-Inconsistent Stochastic Control Problems
• Recurrent neural networks for stochastic control problems with delay
• Time discretisation and rate of convergence for the optimal control of continuous-time stochastic systems with delay
• Finite-dimensional representations for controlled diffusions with delay

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