most citedOptimal control of stochastic delay differential equations and applications to path-dependent financial and economic models

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math.OC2023★ 1 cited

Optimal control of stochastic delay differential equations and applications to path-dependent financial and economic models

Filippo de Feo, Salvatore Federico, Andrzej Święch

In this manuscript we consider a class optimal control problem for stochastic differential delay equations. First, we rewrite the problem in a suitable infinite-dimensional Hilbert…