Optimal control of stochastic functional differential equations with a bounded memory

DOI10.1080/17442500701605494zbMath1138.93065OpenAlexW2115507580MaRDI QIDQ5451161

Mou-Hsiung Chang, Tao Pang, Moustapha Pemy

Publication date: 18 March 2008

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500701605494

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic controlviscosity solutionsstochastic functional differential equations

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Generalized stochastic processes (60G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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Cites Work

• Theory of functional differential equations. 2nd ed
• Optimization of functions on certain subsets of Banach spaces
• Finite Difference Approximations for Stochastic Control Systems with Delay
• User’s guide to viscosity solutions of second order partial differential equations
• Dynamic programming in stochastic control of systems with delay
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