Optimal control of stochastic functional neutral differential equations with time lag in control

Liu, Kai (2018) Optimal control of stochastic functional neutral differential equations with time lag in control. JOURNAL OF THE FRANKLIN INSTITUTE-ENGINEERING AND APPLIED MATHEMATICS, 355 (12). pp. 4839-4853.

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Official URL: http://dx.doi.org/10.1016/j.jfranklin.2018.04.044

Abstract

In this work, we consider an optimal control problem of a class of stochastic differential equations driven by additive noise with aftereffect appearing in control. We develop a semigroup theory of the driving deterministic neutral system and identify explicitly the adjoint operator of the corresponding infinitesimal generator. We formulate the time delay equation under consideration into an infinite dimensional stochastic control system without time lag by means of the adjoint theory established. Consequently, we can deal with the associated optimal control problem through the study of a Hamilton–Jacob–Bellman (HJB) equation. Last, we present an example whose optimal control can be explicitly determined to illustrate our theory.

Item Type:	Article
Depositing User:	Symplectic Admin
Date Deposited:	03 Dec 2018 08:20
Last Modified:	19 Jan 2023 01:26
DOI:	10.1016/j.jfranklin.2018.04.044
Related URLs:	Author Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3025637