In this manuscript we provide a representation in infinite dimension for stochastic optimal control problems with delay in the control variable. The main novelty consists in the fact that the representation can be applied also to dynamics where the delay in the control appears as a nonlinear term and in the diffusion coefficient. We then apply the representation to a LQ case where an explicit solution can be found.
Girolami, C.D., Rosestolato, M. (2024). Representation of stochastic optimal control problems with delay in the control variable. DECISIONS IN ECONOMICS AND FINANCE, ON LINE FIRST, 1-20 [10.1007/s10203-024-00465-x].
Representation of stochastic optimal control problems with delay in the control variable
Girolami, Cristina Di
;
2024
Abstract
In this manuscript we provide a representation in infinite dimension for stochastic optimal control problems with delay in the control variable. The main novelty consists in the fact that the representation can be applied also to dynamics where the delay in the control appears as a nonlinear term and in the diffusion coefficient. We then apply the representation to a LQ case where an explicit solution can be found.| File | Dimensione | Formato | |
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