Stochastic optimal controls with delay
This thesis investigates stochastic optimal control problems with discrete delay and those with both discrete and exponential moving average delays, using the stochastic maximum principle, together with the methods of conjugate duality and dynamic programming. To obtain the stochastic maximum princ...
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| Format: | Thesis (University of Nottingham only) |
| Language: | English |
| Published: |
2017
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| Online Access: | https://eprints.nottingham.ac.uk/47816/ |
| _version_ | 1848797636014899200 |
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| author | Wang, Zimeng |
| author_facet | Wang, Zimeng |
| author_sort | Wang, Zimeng |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | This thesis investigates stochastic optimal control problems with discrete delay and those with both discrete and exponential moving average delays, using the stochastic maximum principle, together with the methods of conjugate duality and dynamic programming.
To obtain the stochastic maximum principle, we first extend the conjugate duality method presented in [2, 44] to study a stochastic convex (primal) problem with discrete delay. An expression for the corresponding dual problem, as well as the necessary and sufficient conditions for optimality of both problems, are derived. The novelty of our work is that, after reformulating a stochastic optimal control problem with delay as a particular convex problem, the conditions for optimality of convex problems lead to the stochastic maximum principle for the control problem. In particular, if the control problem involves both the types of delay and is jump-free, the stochastic maximum principle obtained in this thesis improves those obtained in [29, 30].
Adapting the technique used in [19, Chapter 3] to the stochastic context, we consider a class of stochastic optimal control problems with delay where the value functions are separable, i.e. can be expressed in terms of so-called auxiliary functions. The technique enables us to obtain second-order partial differential equations, satisfied by the auxiliary functions, which we shall call auxiliary HJB equations. Also, the corresponding verification theorem is obtained. If both the types of delay are involved, our auxiliary HJB equations generalize the HJB equations obtained in [22, 23] and our verification theorem improves the stochastic verification theorem there. |
| first_indexed | 2025-11-14T20:07:01Z |
| format | Thesis (University of Nottingham only) |
| id | nottingham-47816 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T20:07:01Z |
| publishDate | 2017 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-478162025-02-28T12:00:06Z https://eprints.nottingham.ac.uk/47816/ Stochastic optimal controls with delay Wang, Zimeng This thesis investigates stochastic optimal control problems with discrete delay and those with both discrete and exponential moving average delays, using the stochastic maximum principle, together with the methods of conjugate duality and dynamic programming. To obtain the stochastic maximum principle, we first extend the conjugate duality method presented in [2, 44] to study a stochastic convex (primal) problem with discrete delay. An expression for the corresponding dual problem, as well as the necessary and sufficient conditions for optimality of both problems, are derived. The novelty of our work is that, after reformulating a stochastic optimal control problem with delay as a particular convex problem, the conditions for optimality of convex problems lead to the stochastic maximum principle for the control problem. In particular, if the control problem involves both the types of delay and is jump-free, the stochastic maximum principle obtained in this thesis improves those obtained in [29, 30]. Adapting the technique used in [19, Chapter 3] to the stochastic context, we consider a class of stochastic optimal control problems with delay where the value functions are separable, i.e. can be expressed in terms of so-called auxiliary functions. The technique enables us to obtain second-order partial differential equations, satisfied by the auxiliary functions, which we shall call auxiliary HJB equations. Also, the corresponding verification theorem is obtained. If both the types of delay are involved, our auxiliary HJB equations generalize the HJB equations obtained in [22, 23] and our verification theorem improves the stochastic verification theorem there. 2017-12 Thesis (University of Nottingham only) NonPeerReviewed application/pdf en arr https://eprints.nottingham.ac.uk/47816/1/Thesis_Zimeng_Wang.pdf Wang, Zimeng (2017) Stochastic optimal controls with delay. PhD thesis, University of Nottingham. conjugate duality method dynamic programming delay maximum principle stochastic optimal control theory |
| spellingShingle | conjugate duality method dynamic programming delay maximum principle stochastic optimal control theory Wang, Zimeng Stochastic optimal controls with delay |
| title | Stochastic optimal controls with delay |
| title_full | Stochastic optimal controls with delay |
| title_fullStr | Stochastic optimal controls with delay |
| title_full_unstemmed | Stochastic optimal controls with delay |
| title_short | Stochastic optimal controls with delay |
| title_sort | stochastic optimal controls with delay |
| topic | conjugate duality method dynamic programming delay maximum principle stochastic optimal control theory |
| url | https://eprints.nottingham.ac.uk/47816/ |