Article2008

Optimal control of stochastic functional differential equations with a bounded memory

Mou-Hsiung Chang · Tao Pang · Moustapha Pemy

30 citations0/0 files storedStochastics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Nonlinear Differential Equations Analysis Stability and Controllability of Differential Equations

Abstract

This paper treats a finite time horizon optimal control problem in which the controlled state dynamics are governed by a general system of stochastic functional differential equations with a bounded memory. An infinite dimensional Hamilton–Jacobi–Bellman (HJB) equation is derived using a Bellman-type dynamic programming principle. It is shown that the value function is the unique viscosity solution of the HJB equation.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 30 citations exist upstream.

References

2007Brownian Motion and Stochastic Calculus 2003Stochastic Differential Equations 1989Theory of Martingales 1983Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application 2000Some Solvable Stochastic Control Problems With Delay 2000A maximum principle for optimal control of stochastic systems with delay, with applications to finance 2002Dynamic programming in stochastic control of systems with delay

Cited by

2010Optimal control problem for stochastic evolution equations in Hilbert spaces 2012Dynamic programming principle for stochastic recursive optimal control problem with delayed systems 2015An Application of Functional Ito's Formula to Stochastic Portfolio Optimization with Bounded Memory

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.