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Medientyp:
E-Artikel
Titel:
CONJUGATE DUALITY IN STOCHASTIC CONTROLS WITH DELAY
Beteiligte:
WANG, ZIMENG;
HODGE, DAVID J.;
LE, HUILING
Erschienen:
Applied Probability Trust, 2017
Erschienen in:Advances in Applied Probability
Sprache:
Englisch
ISSN:
0001-8678
Entstehung:
Anmerkungen:
Beschreibung:
<p>In this paper we use the method of conjugate duality to investigate a class of stochastic optimal control problems where state systems are described by stochastic differential equations with delay. For this, we first analyse a stochastic convex problem with delay and derive the expression for the corresponding dual problem. This enables us to obtain the relationship between the optimalities for the two problems. Then, by linking stochastic optimal control problems with delay with a particular type of stochastic convex problem, the result for the latter leads to sufficient maximum principles for the former.</p>