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

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  • 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.
    Mathematics Subject Classification: 60H15, 60G15, 60H05.


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