American Institute of Mathematical Sciences

• Previous Article
Unstable invariant manifolds for a nonautonomous differential equation with nonautonomous unbounded delay
• DCDS-B Home
• This Issue
• Next Article
A state-dependent delay equation with negative feedback and "mildly unstable" rapidly oscillating periodic solutions
August  2013, 18(6): 1651-1661. doi: 10.3934/dcdsb.2013.18.1651

Quadratic control problem of neutral Ornstein-Uhlenbeck processes with control delays

 1 Division of Statistics and Probability, Department of Mathematical Sciences, The University of Liverpool, Peach Street, Liverpool, L69 7ZL, United Kingdom

Received  September 2011 Revised  January 2012 Published  March 2013

A class of stochastic optimal control problems of infinite dimensional Ornstein-Uhlenbeck processes of neutral type are considered. One special feature of the system under investigation is that time delays are present in the control. An equivalent formulation between an adjoint stochastic controlled delay differential equation and its lifted control system (without delays) is developed. As a consequence, the finite time quadratic regulator problem governed by this formulation is solved based on a direct solution of some associated Riccati equation.
Citation: Kai Liu. Quadratic control problem of neutral Ornstein-Uhlenbeck processes with control delays. Discrete & Continuous Dynamical Systems - B, 2013, 18 (6) : 1651-1661. doi: 10.3934/dcdsb.2013.18.1651
References:

show all references

References:
 [1] Lars Grüne, Matthias A. Müller, Christopher M. Kellett, Steven R. Weller. Strict dissipativity for discrete time discounted optimal control problems. Mathematical Control & Related Fields, 2020  doi: 10.3934/mcrf.2020046 [2] Youming Guo, Tingting Li. Optimal control strategies for an online game addiction model with low and high risk exposure. Discrete & Continuous Dynamical Systems - B, 2020  doi: 10.3934/dcdsb.2020347 [3] Bernard Bonnard, Jérémy Rouot. Geometric optimal techniques to control the muscular force response to functional electrical stimulation using a non-isometric force-fatigue model. Journal of Geometric Mechanics, 2020  doi: 10.3934/jgm.2020032 [4] Siyang Cai, Yongmei Cai, Xuerong Mao. A stochastic differential equation SIS epidemic model with regime switching. Discrete & Continuous Dynamical Systems - B, 2020  doi: 10.3934/dcdsb.2020317 [5] Reza Chaharpashlou, Abdon Atangana, Reza Saadati. On the fuzzy stability results for fractional stochastic Volterra integral equation. Discrete & Continuous Dynamical Systems - S, 2020  doi: 10.3934/dcdss.2020432 [6] Zuliang Lu, Fei Huang, Xiankui Wu, Lin Li, Shang Liu. Convergence and quasi-optimality of $L^2-$norms based an adaptive finite element method for nonlinear optimal control problems. Electronic Research Archive, 2020, 28 (4) : 1459-1486. doi: 10.3934/era.2020077 [7] Peng Luo. Comparison theorem for diagonally quadratic BSDEs. Discrete & Continuous Dynamical Systems - A, 2020  doi: 10.3934/dcds.2020374 [8] Huu-Quang Nguyen, Ya-Chi Chu, Ruey-Lin Sheu. On the convexity for the range set of two quadratic functions. Journal of Industrial & Management Optimization, 2020  doi: 10.3934/jimo.2020169 [9] José Madrid, João P. G. Ramos. On optimal autocorrelation inequalities on the real line. Communications on Pure & Applied Analysis, , () : -. doi: 10.3934/cpaa.2020271 [10] Adrian Constantin, Darren G. Crowdy, Vikas S. Krishnamurthy, Miles H. Wheeler. Stuart-type polar vortices on a rotating sphere. Discrete & Continuous Dynamical Systems - A, 2021, 41 (1) : 201-215. doi: 10.3934/dcds.2020263 [11] Awais Younus, Zoubia Dastgeer, Nudrat Ishaq, Abdul Ghaffar, Kottakkaran Sooppy Nisar, Devendra Kumar. On the observability of conformable linear time-invariant control systems. Discrete & Continuous Dynamical Systems - S, 2020  doi: 10.3934/dcdss.2020444 [12] Sumit Arora, Manil T. Mohan, Jaydev Dabas. Approximate controllability of a Sobolev type impulsive functional evolution system in Banach spaces. Mathematical Control & Related Fields, 2020  doi: 10.3934/mcrf.2020049 [13] Meng Chen, Yong Hu, Matteo Penegini. On projective threefolds of general type with small positive geometric genus. Electronic Research Archive, , () : -. doi: 10.3934/era.2020117 [14] Zhenzhen Wang, Tianshou Zhou. Asymptotic behaviors and stochastic traveling waves in stochastic Fisher-KPP equations. Discrete & Continuous Dynamical Systems - B, 2020  doi: 10.3934/dcdsb.2020323 [15] Tommi Brander, Joonas Ilmavirta, Petteri Piiroinen, Teemu Tyni. Optimal recovery of a radiating source with multiple frequencies along one line. Inverse Problems & Imaging, 2020, 14 (6) : 967-983. doi: 10.3934/ipi.2020044 [16] Mengni Li. Global regularity for a class of Monge-Ampère type equations with nonzero boundary conditions. Communications on Pure & Applied Analysis, , () : -. doi: 10.3934/cpaa.2020267 [17] Xavier Carvajal, Liliana Esquivel, Raphael Santos. On local well-posedness and ill-posedness results for a coupled system of mkdv type equations. Discrete & Continuous Dynamical Systems - A, 2020  doi: 10.3934/dcds.2020382 [18] Lorenzo Zambotti. A brief and personal history of stochastic partial differential equations. Discrete & Continuous Dynamical Systems - A, 2021, 41 (1) : 471-487. doi: 10.3934/dcds.2020264 [19] Yongge Tian, Pengyang Xie. Simultaneous optimal predictions under two seemingly unrelated linear random-effects models. Journal of Industrial & Management Optimization, 2020  doi: 10.3934/jimo.2020168 [20] Xuhui Peng, Rangrang Zhang. Approximations of stochastic 3D tamed Navier-Stokes equations. Communications on Pure & Applied Analysis, 2020, 19 (12) : 5337-5365. doi: 10.3934/cpaa.2020241

2019 Impact Factor: 1.27