Work

Stochastic Optimal Control with Delay in the Control II: Verification Theorem and Optimal Feedbacks

Year: 2017

Type: article

Abstract: We consider a stochastic optimal control problem governed by a stochastic differential equation with delay in the control. Using an existence and uniqueness result of a sufficiently regular mild solution of the associated Hamilton--Jacobi--Bellman equation (see the companion paper [F. Gozzi and F. Masiero, SIAM J. Control Optim., 55 (2017), pp. 2981--3012]), we solve the control problem by proving a verification theorem and the existence of optimal feedback controls.

Source: SIAM Journal on Control and Optimization

DOI: 10.1137/16m1073637

Authors: Fausto Gozzi, Federica Masiero

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funder: Ministero dell’Istruzione, dell’Università e della Ricerca

Award: G1705110562

OpenAlex ID: W2496524312

FWCI: 3.102

Cites: 19

Cited by: 28

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