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Representation of stochastic optimal control problems with delay in the control variable

Author

Listed:
  • Cristina Di Girolami

    (Università di Bologna)

  • Mauro Rosestolato

    (Università di Genova)

Abstract

In this manuscript we provide a representation in infinite dimension for stochastic optimal control problems with delay in the control variable. The main novelty consists in the fact that the representation can be applied also to dynamics where the delay in the control appears as a nonlinear term and in the diffusion coefficient. We then apply the representation to a LQ case where an explicit solution can be found.

Suggested Citation

  • Cristina Di Girolami & Mauro Rosestolato, 2025. "Representation of stochastic optimal control problems with delay in the control variable," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 48(1), pages 361-380, June.
    • Handle: RePEc:spr:decfin:v:48:y:2025:i:1:d:10.1007_s10203-024-00465-x
    DOI: 10.1007/s10203-024-00465-x
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    References listed on IDEAS

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    1. William Lefebvre & Enzo Miller, 2021. "Linear-quadratic stochastic delayed control and deep learning resolution," Papers 2102.09851, arXiv.org, revised Feb 2021.
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    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools

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