Some Solvable Stochastic Control Problems With Delay
نویسندگان
چکیده
منابع مشابه
Stochastic control problems with delay
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 ...
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ژورنال
عنوان ژورنال: Stochastics and Stochastic Reports
سال: 2000
ISSN: 1045-1129
DOI: 10.1080/17442500008834259