Stochastic recursive optimal control problem with time delay and applications
From MaRDI portal
Abstract: This paper is concerned with a stochastic recursive optimal control problem with time delay, where the controlled system is described by a stochastic differential delayed equation (SDDE) and the cost functional is formulated as the solution to a backward SDDE (BSDDE). When there are only the pointwise and distributed time delays in the state variable, a generalized Hamilton-Jacobi-Bellman (HJB) equation for the value function in finite dimensional space is obtained, applying dynamic programming principle. This generalized HJB equation admits a smooth solution when the coefficients satisfy a particular system of first order partial differential equations (PDEs). A sufficient maximum principle is derived, where the adjoint equation is a forward-backward SDDE (FBSDDE). Under some differentiability assumptions, the relationship between the value function, the adjoint processes and the generalized Hamiltonian function is obtained. A consumption and portfolio optimization problem with recursive utility in the financial market, is discussed to show the applications of our result. Explicit solutions in a finite dimensional space derived by the two different approaches, coincide.
Recommendations
- Dynamic programming principle for stochastic recursive optimal control problem with delayed systems
- Stochastic recursive optimal control problem with mixed delay under viscosity solution's framework
- Maximum principle for the stochastic optimal control problem with delay and application
- Infinite horizon optimal control of forward-backward stochastic differential equations with delay
- Stochastic control problems with delay
Cites work
- scientific article; zbMATH DE number 5012789 (Why is no real title available?)
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- scientific article; zbMATH DE number 960196 (Why is no real title available?)
- A Delayed Black and Scholes Formula
- A dynamic maximum principle for the optimization of recursive utilities under constraints.
- A maximum principle for infinite horizon delay equations
- A stochastic control problem with delay arising in a pension fund model
- A stochastic maximum principle for a Markov regime-switching jump-diffusion model and its application to finance
- A stochastic portfolio optimization model with bounded memory
- Adapted solution of a backward stochastic differential equation
- Anticipated backward stochastic differential equations
- Backward Stochastic Differential Equations in Finance
- Delay geometric Brownian motion in financial option valuation
- Dynamic programming in stochastic control of systems with delay
- Dynamic programming principle for stochastic recursive optimal control problem with delayed systems
- Forward-backward stochastic differential games and stochastic control under model uncertainty
- Infinite horizon optimal control of forward-backward stochastic differential equations with delay
- LQ control for Itô-type stochastic systems with input delays
- Linear estimation for random delay systems
- Linear quadratic regulation for linear time-varying systems with multiple input delays
- Maximum principle for forward-backward stochastic control system with random jumps and applications to finance
- Maximum principle for the stochastic optimal control problem with delay and application
- Maximum principles for optimal control of forward-backward stochastic differential equations with jumps
- On the relationship between the stochastic maximum principle and dynamic programming in singular stochastic control
- Optimal consumption and portfolio selection with stochastic differential utility
- Optimal control for stochastic delay systems under model uncertainty: a stochastic differential game approach
- Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations
- Optimal control of stochastic systems with aftereffect
- Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions
- Relationship between maximum principle and dynamic programming for stochastic recursive optimal control problems and applications
- Some Solvable Stochastic Control Problems With Delay
- Stochastic Differential Utility
- Stochastic equations with delay: optimal control via BSDEs and regular solutions of Hamilton-Jacobi-Bellman equations
- Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
- Sufficient stochastic maximum principle in a regime-switching diffusion model
- The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information
- The relationship between the stochastic maximum principle and the dynamic programming in singular control of jump diffusions
- The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls
- When Are HJB-Equations in Stochastic Control of Delay Systems Finite Dimensional?
Cited in
(11)- Iterative schemes for certain time-dependent problems of stochastic optimal control
- Stochastic recursive optimal control problem with mixed delay under viscosity solution's framework
- Singular optimal controls of stochastic recursive systems and Hamilton-Jacobi-Bellman inequality
- Stochastic maximum principle for recursive optimal control problems with varying terminal time
- Stochastic recursive optimal control problem with obstacle constraint involving diffusion type control
- A maximum principle for discrete-time stochastic optimal control problemE20 with delay
- Optimal control of mean-field jump-diffusion systems with noisy memory
- Dynamic programming principle for stochastic recursive optimal control problem with delayed systems
- A global maximum principle for stochastic optimal control problems with delay and applications
- A partially observed nonzero-sum stochastic differential game with delays and its application to finance
- Near-optimal control of stochastic recursive systems via viscosity solution
This page was built for publication: Stochastic recursive optimal control problem with time delay and applications
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q256324)
