Conjugate duality in stochastic controls with delay
This paper uses the method of conjugate duality to investigate a class of stochastic optimal control problems where state systems are described by stochastic differential equations with delay. For this, we first analyse a stochastic convex problem with delay and derive the expression for the corresp...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Applied Probability Trust
2017
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| Online Access: | http://eprints.nottingham.ac.uk/44290/ http://eprints.nottingham.ac.uk/44290/ http://eprints.nottingham.ac.uk/44290/ http://eprints.nottingham.ac.uk/44290/1/first-paper-final.pdf |