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...
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| Format: | Article |
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Applied Probability Trust
2017
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| Online Access: | https://eprints.nottingham.ac.uk/44290/ |
| _version_ | 1848796882232410112 |
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| author | Wang, Zimeng Hodge, David J. Le, Huiling |
| author_facet | Wang, Zimeng Hodge, David J. Le, Huiling |
| author_sort | Wang, Zimeng |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | 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 corresponding dual problem. This enables us to obtain the relationship between the optimalities for the two problems. Then, by linking stochastic optimal control problems with delay with a particular type of stochastic convex problem, the result for the latter leads to sufficient maximum principles for the former. |
| first_indexed | 2025-11-14T19:55:02Z |
| format | Article |
| id | nottingham-44290 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| last_indexed | 2025-11-14T19:55:02Z |
| publishDate | 2017 |
| publisher | Applied Probability Trust |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-442902020-05-04T19:54:22Z https://eprints.nottingham.ac.uk/44290/ Conjugate duality in stochastic controls with delay Wang, Zimeng Hodge, David J. Le, Huiling 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 corresponding dual problem. This enables us to obtain the relationship between the optimalities for the two problems. Then, by linking stochastic optimal control problems with delay with a particular type of stochastic convex problem, the result for the latter leads to sufficient maximum principles for the former. Applied Probability Trust 2017-12 Article PeerReviewed Wang, Zimeng, Hodge, David J. and Le, Huiling (2017) Conjugate duality in stochastic controls with delay. Advances in Applied Probability, 49 (4). pp. 1011-1036. ISSN 1475-6064 Anticipated backward stochastic differential equation; Conjugate convex function; Stochastic delay differential equation; Stochastic maximum principle; Stochastic optimal control with delay https://www.cambridge.org/core/journals/advances-in-applied-probability/article/conjugate-duality-in-stochastic-controls-with-delay/2FB2F1A9A2D1371B3C0303946D129CE5# doi:10.1017/apr.2017.32 doi:10.1017/apr.2017.32 |
| spellingShingle | Anticipated backward stochastic differential equation; Conjugate convex function; Stochastic delay differential equation; Stochastic maximum principle; Stochastic optimal control with delay Wang, Zimeng Hodge, David J. Le, Huiling Conjugate duality in stochastic controls with delay |
| title | Conjugate duality in stochastic controls with delay |
| title_full | Conjugate duality in stochastic controls with delay |
| title_fullStr | Conjugate duality in stochastic controls with delay |
| title_full_unstemmed | Conjugate duality in stochastic controls with delay |
| title_short | Conjugate duality in stochastic controls with delay |
| title_sort | conjugate duality in stochastic controls with delay |
| topic | Anticipated backward stochastic differential equation; Conjugate convex function; Stochastic delay differential equation; Stochastic maximum principle; Stochastic optimal control with delay |
| url | https://eprints.nottingham.ac.uk/44290/ https://eprints.nottingham.ac.uk/44290/ https://eprints.nottingham.ac.uk/44290/ |