NDLI: Stochastic control problems with delay

Content Provider	Springer Nature Link
Author	Bauer, Harald Rieder, Ulrich
Copyright Year	2005
Abstract	We consider optimal control problems for systems described by stochastic differential equations with delay. We state conditions for certain classes of such systems under which the stochastic control problems become finite-dimensional. These conditions are illustrated with three applications. First, we solve some linear quadratic problems with delay. Then we find the optimal consumption rate in a financial market with delay. Finally, we solve explicitly a deterministic fluid problem with delay which arises from admission control in ATM communication networks.
Starting Page	411
Ending Page	427
Page Count	17
File Format	PDF
ISSN	14322994
Journal	Mathematical Methods of Operations Research
Volume Number	62
Issue Number	3
e-ISSN	14325217
Language	English
Publisher	Springer-Verlag
Publisher Date	2005-11-23
Publisher Place	Berlin, Heidelberg
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Business/Management Science Operations Research/Decision Theory Calculus of Variations and Optimal Control; Optimization
Content Type	Text
Resource Type	Article
Subject	Management Science and Operations Research Mathematics Software

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Stochastic control problems with delay