Linear-quadratic stochastic delayed control and deep learning resolution

DOI10.1007/s10957-021-01923-xzbMath1478.93734arXiv2102.09851OpenAlexW3202505006MaRDI QIDQ2664898

Enzo Miller, William Lefebvre

Publication date: 18 November 2021

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2102.09851

zbMATH Keywords

delayMarkowitz portfolio allocationdeep learninglinear-quadratic stochastic controlRiccati PDEs

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Optimal stochastic control (93E20) Stochastic functional-differential equations (34K50) Portfolio theory (91G10) PDEs in connection with control and optimization (35Q93) Delay control/observation systems (93C43)

Related Items

Zero-Sum Stackelberg Stochastic Linear-Quadratic Differential Games, Pairs trading under delayed cointegration, Equilibrium pairs trading under delayed cointegration, Emission reduction of low-carbon supply chain based on uncertain differential game

Uses Software

• IPython
• DGM

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