Representation of stochastic optimal control problems with delay in the control variable

Cristina Di Girolami () and Mauro Rosestolato ()
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Cristina Di Girolami: Università di Bologna
Mauro Rosestolato: Università di Genova

Decisions in Economics and Finance, 2025, vol. 48, issue 1, No 18, 380 pages

Abstract: Abstract In this manuscript we provide a representation in infinite dimension for stochastic optimal control problems with delay in the control variable. The main novelty consists in the fact that the representation can be applied also to dynamics where the delay in the control appears as a nonlinear term and in the diffusion coefficient. We then apply the representation to a LQ case where an explicit solution can be found.

Keywords: stochastic control problems; dynamic programming; delay in the control; infinite dimensional reformulation; optimal advertising (search for similar items in EconPapers)
JEL-codes: C02 C61 C65 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s10203-024-00465-x

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