Stochastic Equations with Delay: Optimal Control via BSDEs and Regular Solutions of Hamilton--Jacobi--Bellman Equations

Marco Fuhrman, Federica Masiero, Gianmario Tessitore. Stochastic Equations with Delay: Optimal Control via BSDEs and Regular Solutions of Hamilton--Jacobi--Bellman Equations. SIAM J. Control and Optimization, 48(7):4624-4651, 2010. [doi]

Authors

Marco Fuhrman

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Federica Masiero

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Gianmario Tessitore

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