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arXiv · 1607.06508

Stochastic Optimal Control with Delay in the Control II: Verification Theorem and Optimal Feedbacks

F. Gozzi·F. Masiero
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Abstract

We consider a stochastic optimal control problem governed by a stochastic differential equation with delay in the control. Using a result of existence and uniqueness of a sufficiently regular mild solution of the associated Hamilton-Jacobi-Bellman (HJB) equation, see the companion paper "Stochastic Optimal Control with Delay in the Control I: solving the HJB equation through partial smoothing ", we solve the control problem by proving a Verification Theorem and the existence of optimal feedback controls.

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F. Gozzi, F. Masiero. 2016-07-21. Stochastic Optimal Control with Delay in the Control II: Verification Theorem and Optimal Feedbacks. https://doi.org/10.1137/16m1073637

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