IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v127y2017i7p2396-2427.html
   My bibliography  Save this article

Stochastic maximum principle for SPDEs with delay

Author

Listed:
  • Guatteri, Giuseppina
  • Masiero, Federica
  • Orrieri, Carlo

Abstract

In this paper we develop necessary conditions for optimality, in the form of the stochastic Pontryagin maximum principle, for the optimal control problem of a class of infinite dimensional stochastic evolution equations with delay in the state. In the cost functional we allow the final cost to depend on the history of the state. To treat such kind of cost functionals we introduce a new form of anticipated backward stochastic differential equations which plays the role of dual equation associated to the control problem.

Suggested Citation

  • Guatteri, Giuseppina & Masiero, Federica & Orrieri, Carlo, 2017. "Stochastic maximum principle for SPDEs with delay," Stochastic Processes and their Applications, Elsevier, vol. 127(7), pages 2396-2427.
    • Handle: RePEc:eee:spapps:v:127:y:2017:i:7:p:2396-2427
    DOI: 10.1016/j.spa.2016.11.007
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0304414916302174
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.spa.2016.11.007?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Li Chen & Zhen Wu & Zhiyong Yu, 2012. "Delayed Stochastic Linear-Quadratic Control Problem and Related Applications," Journal of Applied Mathematics, Hindawi, vol. 2012, pages 1-22, September.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Masiero, Federica & Orrieri, Carlo & Tessitore, Gianmario & Zanco, Giovanni, 2021. "Semilinear Kolmogorov equations on the space of continuous functions via BSDEs," Stochastic Processes and their Applications, Elsevier, vol. 136(C), pages 1-56.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. René Carmona & Jean-Pierre Fouque & Seyyed Mostafa Mousavi & Li-Hsien Sun, 2018. "Systemic Risk and Stochastic Games with Delay," Journal of Optimization Theory and Applications, Springer, vol. 179(2), pages 366-399, November.
    2. Jiequn Han & Ruimeng Hu, 2021. "Recurrent Neural Networks for Stochastic Control Problems with Delay," Papers 2101.01385, arXiv.org, revised Jun 2021.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:127:y:2017:i:7:p:2396-2427. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.