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20072026
most citedStochastic Optimal Control with Delay in the Control I: solving the HJB equation through partial smoothing

37 citations · 100 across the 22 of their papers we have counts for

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Showing 2008Show all

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math.PR2008★ 4 cited

Stochastic equations with delay: optimal control via BSDEs and regular solutions of Hamilton-Jacobi-Bellman equations

Marco Fuhrman, Federica Masiero, Gianmario Tessitore

We consider an Ito stochastic differential equation with delay, driven by brownian motion, whose solution, by an appropriate reformulation, defines a Markov process with values…

math.PR2008

Ergodic Optimal Quadratic Control for an Affine Equation with Stochastic and Stationary Coefficients

Giuseppina Guatteri, Federica Masiero

We study ergodic quadratic optimal stochastic control problems for an affine state equation with state and control dependent noise and with stochastic coefficients. We assume stati…