Currently displaying 1 – 2 of 2

Showing per page

Order by Relevance | Title | Year of publication

Dynamic programming principle for stochastic recursive optimal control problem with delayed systems

Li ChenZhen Wu — 2012

ESAIM: Control, Optimisation and Calculus of Variations

In this paper, we study one kind of stochastic recursive optimal control problem for the systems described by stochastic differential equations with delay (SDDE). In our framework, not only the dynamics of the systems but also the recursive utility depend on the past path segment of the state process in a general form. We give the dynamic programming principle for this kind of optimal control problems and show that the value function is the viscosity solution of the corresponding infinite dimensional...

Page 1

Download Results (CSV)