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arXiv 1607.06508math.PR
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控制II中具有时滞的随机最优控制：验证定理和最优反馈

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

F. Gozzi, F. Masiero

备注：
This is substantially the second part of the paper arXiv:1506.06013. We have submitted thsi new version where, towards the previous one, we notice that the current cost of the control problem cannot depend on the state. All the changes towards the published version are written in red color
发表信息：
SIAM J. Control Optim., 2017 55(5), 3013-3038
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摘要：

考虑一类由控制中含有时滞的随机微分方程所支配的随机最优控制问题。利用相关的Hamilton-Jacobi-Bellman（HJB）方程的充分正则温和解的存在性和唯一性的结果，参见同伴论文“Stochastic最优控制with Delay in the Control I：Solving the HJB equation through partial smoothing“，我们通过证明验证定理和最优反馈控制的存在性来解决控制问题。

英文摘要：

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.

机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。

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