Stochastic Optimal Control with Delay in the Control II: Verification Theorem and Optimal Feedbacks

HJB Equations for the Optimal Control of Differential Equations with Delays and State Constraints, II: Verification and Optimal Feedbacks

This paper, which is the natural continuation of [14], studies a class of optimal control problems with state constraints where the state equation is a differential equation with delays. In [14] the problem is embedded in a suitable Hilbert space H and the regularity of the associated Hamilton-Jacobi-Bellman (HJB) equation is studied. The goal of the present paper is to exploit the regularity r...

Optimal Stochastic Control in Continuous Time with Wiener Processes: General Results and Applications to Optimal Wildlife Management

We present a stochastic optimal control approach to wildlife management. The objective value is the present value of hunting and meat, reduced by the present value of the costs of plant damages and traffic accidents caused by the wildlife population. First, general optimal control functions and value functions are derived. Then, numerically specified optimal control functions and value func...

Quantitative Determination Of Optimal Fiscal And Monetary Policies: A Stochastic Optimal Control Analysis For Iran

Optimality Of Monetary And Fiscal Policies In Iran: An Application Of The Stochastic Optimal Control Theory

An Existence Theorem for Optimal Control Systems with State Variable in C, and Stochastic Control Problems

We consider an existence theorem for controi systems whose state variables for every t are in C, the set of continuous functions varying over a given set L The dependence of the state variables upon a ~ / i s induced by their dependence upon the initial state and the state equation governing the system. In contrast, the control u ---u(t) is taken as a measurable function of t alone. The usual s...