We consider a simple class of stochastic control problems with delayed control, in both the drift and diffusion part state differential equation. provide new characterization solution terms set Riccati partial equations. Existence uniqueness are obtained under sufficient condition expressed directly as relation between time horizon, drift, volatility delay. Furthermore, deep learning scheme (Th...

The purpose of this paper is to provide a unified presentation of the formulas arising in the discrete-time finite-horizon linear Linear Quadratic Regulator problem, the Linear Quadratic Gaussian problem, the Linear Exponential of Quadratic Gaussian problem, and the minimax Linear Quadratic Gaussian problem. For these classes of optimal control problems, the paper presents formulas for optimal ...