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Stochastic control problems with delay

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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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Correspondence to Harald Bauer.

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Bauer, H., Rieder, U. Stochastic control problems with delay. Math Meth Oper Res 62, 411–427 (2005). https://doi.org/10.1007/s00186-005-0042-4

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  • DOI: https://doi.org/10.1007/s00186-005-0042-4

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