Representation of stochastic optimal control problems with delay in the control variable

IF 1.4 Q3 SOCIAL SCIENCES, MATHEMATICAL METHODS

Decisions in Economics and Finance Pub Date : 2024-06-25 DOI:10.1007/s10203-024-00465-x

Cristina Di Girolami, Mauro Rosestolato

引用次数: 0

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.

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具有控制变量延迟的随机最优控制问题的表示方法

在本手稿中，我们为控制变量存在延迟的随机最优控制问题提供了一种无限维表示法。其主要创新之处在于，该表示法也可应用于控制延迟作为非线性项和扩散系数出现的动力学问题。然后，我们将该表示法应用于可以找到显式解的 LQ 情况。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Decisions in Economics and Finance SOCIAL SCIENCES, MATHEMATICAL METHODS-

CiteScore

2.50

自引率

9.10%

发文量

期刊介绍： Decisions in Economics and Finance: A Journal of Applied Mathematics is the official publication of the Association for Mathematics Applied to Social and Economic Sciences (AMASES). It provides a specialised forum for the publication of research in all areas of mathematics as applied to economics, finance, insurance, management and social sciences. Primary emphasis is placed on original research concerning topics in mathematics or computational techniques which are explicitly motivated by or contribute to the analysis of economic or financial problems.