Conjugate duality in stochastic controls with delay

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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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Bibliographic Details
Main Authors:	Wang, Zimeng, Hodge, David J., Le, Huiling
Format:	Article
Published:	Applied Probability Trust 2017
Subjects:	Anticipated backward stochastic differential equation; Conjugate convex function; Stochastic delay differential equation; Stochastic maximum principle; Stochastic optimal control with delay
Online Access:	https://eprints.nottingham.ac.uk/44290/

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