Stochastic control problems with delay

DOI10.1007/S00186-005-0042-4MaRDI QIDQ811987zbMATH OpenOpenAlexFDO

Authors Harald Bauer, Ulrich Rieder

Publication date 23 January 2006

Published in Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00186-005-0042-4

Mathematics Subject Classification ID

Stochastic systems in control theory (general) (93E03)

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Cites work

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• scientific article; zbMATH DE number 1270501 (Why is no real title available?)
• Asymptotic analysis of adaptive rate control for diverse sources with delayed feedback
• Dynamic programming in stochastic control of systems with delay
• Some Solvable Stochastic Control Problems With Delay
• When Are HJB-Equations in Stochastic Control of Delay Systems Finite Dimensional?

Cited in

(23)

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• Viscosity solution of optimal stopping problem for stochastic systems with bounded memory
• Recent developments in machine learning methods for stochastic control and games
• Some Solvable Stochastic Control Problems With Delay
• Stochastic optimal control under randomly varying distributed delays
• A new method to solve the Hamilton-Jacobi-Bellman equation for a stochastic portfolio optimization model with boundary memory
• Recurrent neural networks for stochastic control problems with delay
• Delayed stochastic linear-quadratic control problem and related applications
• Time discretisation and rate of convergence for the optimal control of continuous-time stochastic systems with delay
• On the infinite-dimensional representation of stochastic controlled systems with delayed control in the diffusion term
• scientific article; zbMATH DE number 3983057 (Why is no real title available?)
• -maximum principle for stochastic delayed control problems with jump-diffusion processes and application to social network-based advertising model
• scientific article; zbMATH DE number 5220409 (Why is no real title available?)
• Optimal investment mean-field and N-player games with memory effect and relative performance competition
• Finite-dimensional representations for controlled diffusions with delay
• Stochastic control with delayed information and related nonlinear master equation
• Strong convergence of an implicit Euler-Maruyama scheme for Caputo stochastic fractional delay differential equations
• Dynamic programming in stochastic control of systems with delay

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