On the infinite-dimensional representation of stochastic controlled systems with delayed control in the diffusion term

DOI10.1515/MEL-2014-0011zbMath1327.39009OpenAlexW2161846530MaRDI QIDQ500200

Publication date: 1 October 2015

Published in: Mathematical Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mel-2014-0011

zbMATH Keywords

dynamic programming stochastic delay differential equations evolution equations in Hilbert space

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) One-parameter semigroups and linear evolution equations (47D06) Functional-differential equations in abstract spaces (34K30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic analysis (60H99) Stochastic difference equations (39A50)

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