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

(20)

• Some Solvable Stochastic Control Problems With Delay
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• Viscosity solution of optimal stopping problem for stochastic systems with bounded memory
• Stochastic minimax optimal time-delay state feedback control of uncertain quasi-integrable Hamiltonian systems
• A stochastic control problem with delay arising in a pension fund model
• scientific article; zbMATH DE number 2134039 (Why is no real title available?)
• Stochastic optimal time-delay control of quasi-integrable Hamiltonian systems
• Recent developments in machine learning methods for stochastic control and games
• Delayed stochastic linear-quadratic control problem and related applications
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• Optimal investment mean-field and N-player games with memory effect and relative performance competition
• A new method to solve the Hamilton-Jacobi-Bellman equation for a stochastic portfolio optimization model with boundary memory
• On the infinite-dimensional representation of stochastic controlled systems with delayed control in the diffusion term
• Finite-dimensional representations for controlled diffusions with delay
• Dynamic programming in stochastic control of systems with delay
• scientific article; zbMATH DE number 5220409 (Why is no real title available?)
• Stochastic optimal control under randomly varying distributed delays

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