Stochastic control problems with delay

Harald Bauer () and Ulrich Rieder ()

Mathematical Methods of Operations Research, 2005, vol. 62, issue 3, 427 pages

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

Date: 2005
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DOI: 10.1007/s00186-005-0042-4

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