Stochastic control problems with delay |
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Authors: | Harald Bauer Ulrich Rieder |
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Affiliation: | (1) Department of Optimization and Operations Research, University Ulm, Ulm, Germany |
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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. |
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Keywords: | |
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