Optimal control of stochastic delay differential equations: Optimal feedback controls
Fuente:
arXiv
Guardado en:
| Autores principales: | , |
|---|---|
| Formato: | Preprint |
| Publicado: |
2023
|
| Materias: | |
| Acceso en línea: | |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|
| _version_ | 1866909437018505216 |
|---|---|
| author | de Feo, Filippo Święch, Andrzej |
| author_facet | de Feo, Filippo Święch, Andrzej |
| contents | In this manuscript, we study optimal control problems for stochastic delay differential equations using the dynamic programming approach in Hilbert spaces via viscosity solutions of the associated Hamilton-Jacobi-Bellman equations. We show how to use the partial $C^{1,α}$-regularity of the value function established in \cite{defeo_federico_swiech} to obtain optimal feedback controls. The main result of the paper is a verification theorem which provides a sufficient condition for optimality using the value function. We then discuss its applicability to the construction of optimal feedback controls. We provide an application to stochastic optimal advertising problems. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2309_05029 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Optimal control of stochastic delay differential equations: Optimal feedback controls de Feo, Filippo Święch, Andrzej Optimization and Control Analysis of PDEs Probability 49L25, 93E20, 49K45, 60H15, 49L20, 35R15, 49L12, 49N35, 34K50 In this manuscript, we study optimal control problems for stochastic delay differential equations using the dynamic programming approach in Hilbert spaces via viscosity solutions of the associated Hamilton-Jacobi-Bellman equations. We show how to use the partial $C^{1,α}$-regularity of the value function established in \cite{defeo_federico_swiech} to obtain optimal feedback controls. The main result of the paper is a verification theorem which provides a sufficient condition for optimality using the value function. We then discuss its applicability to the construction of optimal feedback controls. We provide an application to stochastic optimal advertising problems. |
| title | Optimal control of stochastic delay differential equations: Optimal feedback controls |
| topic | Optimization and Control Analysis of PDEs Probability 49L25, 93E20, 49K45, 60H15, 49L20, 35R15, 49L12, 49N35, 34K50 |
| url | https://arxiv.org/abs/2309.05029 |