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Stochastic Optimal Control with Delay in the Control II: Verification Theorem and Optimal Feedbacks
10 references·0 citing·34 second hop
Stochastic Optimal Control with Delay in the Control II: Verification Theorem and Optimal Feedbacks (2017)Stochastic Optimal Control with Delay in …Stochastic Optimal Control with Delay in the Control I: Solving the HJB Equation through Partial Smoothing (2017)Stochastic Optimal Control wi…An infinite-dimensional approach to path-dependent Kolmogorov equations (2016)An infinite-dimensional appro…On Controlled Linear Diffusions with Delay in a Model of Optimal Advertising under Uncertainty with Memory Effects (2009)On Controlled Linear Diffusio…Stochastic Optimal Control Problems and Parabolic Equations in Banach Spaces (2008)Stochastic Optimal Control Pr…Impulse control problem on finite horizon with execution delay (2008)Impulse control problem on fi…Generalized Directional Gradients, Backward Stochastic Differential Equations and Mild Solutions of Semilinear Parabolic Equations (2005)Generalized Directional Gradi…Semilinear Kolmogorov Equations and Applications to Stochastic Optimal Control (2004)Semilinear Kolmogorov Equatio…When Are HJB-Equations in Stochastic Control of Delay Systems Finite Dimensional? (2003)When Are HJB-Equations in Sto…Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control (2002)Nonlinear Kolmogorov equation…Second-Order Hamilton–Jacobi Equations in Infinite Dimensions (1991)Second-Order Hamilton–Jacobi …Functional Itô calculus and stochastic integral representation of martingales (2013)On viscosity solutions of path dependent PDEs (2014)Functional Itô versus Banach space stochastic calculus and strict solutions of semilinear path-dependent equations (2016)Stochastic systems with memory and jumps (2018)Functional Itô calculus (2019)A maximum principle for optimal control of stochastic systems with delay, with applications to finance (2000)Some Solvable Stochastic Control Problems With Delay (2000)Dynamic programming in stochastic control of systems with delay (2002)Stochastic control problems with delay (2005)Systemic Risk and Stochastic Games with Delay (2018)Optimal Advertising Policy under Dynamic Conditions (1962)Distributed Lags: A Survey (1967)Optimal Advertising Policy Under Dynamic Conditions (1976)Optimal Control for Stochastic Delay Systems Under Model Uncertainty: A Stochastic Differential Game Approach (2013)Adapted solution of a backward stochastic differential equation (1990)Backward Stochastic Differential Equations in Finance (1997)Continuous Martingales and Brownian Motion (1999)Viscosity solutions of fully nonlinear second order equations and optimal stochastic control in infinite dimensions. Part II: Optimal control of Zakai's equation (1989)Strong feller property for stochastic semilinear equations (1995)Hamilton–Jacobi–Bellman Equations for the Optimal Control of the Duncan–Mortensen–Zakai Equation (2000)Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions (1981)Controlled markov processes and viscosity solutions (1994)Applied Stochastic Control of Jump Diffusions (2005)Controlled Markov Processes and Viscosity Solutions (2005)Smooth Fit Principle for Impulse Control of Multidimensional Diffusion Processes (2009)Finite Horizon Optimal Stopping of Time-Discontinuous Functionals with Applications to Impulse Control with Delay (2010)An introduction to stochastic partial differential equations (2006)Optimal control of path-dependent McKean–Vlasov SDEs in infinite-dimension (2023)The Malliavin Calculus and Related Topics (2006)BSDEs with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces (2007)Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applications (2011)The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls (2012)A stochastic control problem with delay arising in a pension fund model (2010)Recurrent neural networks for stochastic control problems with delay (2021)
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References

  • 2002Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control167 cited
  • 2009On Controlled Linear Diffusions with Delay in a Model of Optimal Advertising under Uncertainty with Memory Effects66 cited
  • 2003When Are HJB-Equations in Stochastic Control of Delay Systems Finite Dimensional?60 cited
  • 1991Second-Order Hamilton–Jacobi Equations in Infinite Dimensions55 cited
  • 2008Impulse control problem on finite horizon with execution delay50 cited
  • 2017Stochastic Optimal Control with Delay in the Control I: Solving the HJB Equation through Partial Smoothing41 cited
  • 2005Generalized Directional Gradients, Backward Stochastic Differential Equations and Mild Solutions of Semilinear Parabolic Equations40 cited
  • 2008Stochastic Optimal Control Problems and Parabolic Equations in Banach Spaces37 cited
  • 2004Semilinear Kolmogorov Equations and Applications to Stochastic Optimal Control36 cited
  • 2016An infinite-dimensional approach to path-dependent Kolmogorov equations32 cited

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