IDEAS home Printed from https://ideas.repec.org/a/spr/mathme/v62y2005i3p411-427.html
   My bibliography  Save this article

Stochastic control problems with delay

Author

Listed:
  • Harald Bauer
  • Ulrich Rieder

Abstract

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 a financial market with delay. Finally, we solve explicitly a deterministic fluid problem with delay which arises from admission control in ATM communication networks. Copyright Springer-Verlag 2005

Suggested Citation

  • Harald Bauer & Ulrich Rieder, 2005. "Stochastic control problems with delay," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 62(3), pages 411-427, December.
    • Handle: RePEc:spr:mathme:v:62:y:2005:i:3:p:411-427
    DOI: 10.1007/s00186-005-0042-4
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s00186-005-0042-4
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s00186-005-0042-4?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Jun Moon, 2022. "State and Control Path-Dependent Stochastic Zero-Sum Differential Games: Viscosity Solutions of Path-Dependent Hamilton–Jacobi–Isaacs Equations," Mathematics, MDPI, vol. 10(10), pages 1-32, May.
    2. Jiequn Han & Ruimeng Hu, 2021. "Recurrent Neural Networks for Stochastic Control Problems with Delay," Papers 2101.01385, arXiv.org, revised Jun 2021.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:mathme:v:62:y:2005:i:3:p:411-427. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.