Optimal control of stochastic delay differential equations and applications to path-dependent financial and economic models

DOI10.1137/23M1553960arXiv2302.08809MaRDI QIDQ6426787

Filippo de Feo, Salvatore Federico, Andrzej Świȩch

Publication date: 17 February 2023

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimality conditions for problems involving randomness (49K45) Variational principles of physics (49S05) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15) Mathematical economics (91Bxx) Viscosity solutions to PDEs (35D40) Hamilton-Jacobi equations in optimal control and differential games (49L12)

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