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math.OC2023
Lifting partial smoothing to solve HJB equations and stochastic control problems
Fausto Gozzi, Federica Masiero
We study a family of stochastic control problems arising in typical applications (such as boundary control and control of delay equations with delay in the control) with the ultima…
math.OC2018
Stochastic maximum principle for equations with delay: the non-convex case
Giuseppina Guatteri, Federica Masiero
In this paper we develop necessary conditions for optimality, in the form of the stochastic Pontryagin maximum principle, for controlled equations with pointwise delay in the state…