STOCHASTIC OPTIMAL CONTROL WITH DELAY IN THE CONTROL II: VERIFICATION THEOREM AND OPTIMAL FEEDBACKS

Gozzi Fausto; Masiero Federica

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STOCHASTIC OPTIMAL CONTROL WITH DELAY IN THE CONTROL II: VERIFICATION THEOREM AND OPTIMAL FEEDBACKS

机译：随机最佳控制，延迟控制II：验证定理和最佳反馈

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We consider a stochastic optimal control problem governed by a stochastic differential equation with delay in the control. Using an existence and uniqueness result of a sufficiently regular mild solution of the associated Hamilton-Jacobi-Bellman equation (see the companion paper [F. Cozzi and F. Masiero, SIAM J. Control Optim., 55 (2017), pp. 2981-30121), we solve the control problem by proving a verification theorem and the existence of optimal feedback controls.

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来源
《SIAM Journal on Control and Optimization》 |2017年第5期|共26页
作者
Gozzi Fausto; Masiero Federica;
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作者单位

Univ LUISS Guido Carli Dipartimento Econ &

Finanza Viale Romania 32 I-00197 Rome Italy;

Univ Milano Bicocca Dipartimento Matemat &

Applicaz Via Cozzi 55 I-20125 Milan Italy;

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原文格式 PDF
正文语种 eng
中图分类运筹学;控制论、信息论（数学理论）;
关键词
optimal control of stochastic delay equations; delay in the control; lack of the structure condition; second order Hamilton-Jacobi-Bellman equations in infinite dimension; verification theorem; optimal feedbacks; K-convergence;

机译：随机延迟方程的最优控制;控制延迟;缺乏结构条件;二阶汉密尔顿 - 雅各 - 贝尔曼方程在无限尺寸;验证定理;最佳反馈;K〜融合;

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STOCHASTIC OPTIMAL CONTROL WITH DELAY IN THE CONTROL II: VERIFICATION THEOREM AND OPTIMAL FEEDBACKS

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