Optimal Control of Stochastic Delay Differential Equations and Applications to Path-Dependent Financial and Economic Models-Reference-Cited by-同舟云学术

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Optimal Control of Stochastic Delay Differential Equations and Applications to Path-Dependent Financial and Economic Models

Published:2024-05-20 Issue:3 Volume:62 Page:1490-1520
ISSN:0363-0129
Container-title:SIAM Journal on Control and Optimization
language:en
Short-container-title:SIAM J. Control Optim.

Author:

De Feo Filippo¹^ORCID,Federico Salvatore²,Święch Andrzej³

Affiliation:

1. Department of Mathematics, Politecnico di Milano, Piazza Leonardo da Vinci 32, 20133, Milano, Italy.

2. Department of Mathematics, University of Bologna, Piazza di Porta S. Donato, 5, 40126 Bologna, Italy.

3. School of Mathematics, Georgia Institute of Technology, Atlanta, GA 30332 USA.

Funder

MIUR

INdAM-GNAMPA

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Reference83 articles.

1. A nonlinear Bismut–Elworthy formula for HJB equations with quadratic Hamiltonian in Banach spaces

2. Optimal policy and consumption smoothing effects in the time-to-build AK model

3. Generically distributed investments on flexible projects and endogenous growth

4. Res. Notes in Math. 86;Barbu V.,1983

5. Optimal Control and Viscosity Solutions of Hamilton-Jacobi-Bellman Equations

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3. Fuzzy Optimal Guaranteed Cost Control of a Single Specie Bio-Economic Singular Systems in Algae Environment;IEEE Access;2024

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