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• W3202505006 abstract "We consider a simple class of stochastic control problems with a delayed control, in both the drift and the diffusion part of the state stochastic differential equation. We provide a new characterization of the solution in terms of a set of Riccati partial differential equations. Existence and uniqueness of a solution are obtained under a sufficient condition expressed directly as a relation between the time horizon, the drift, the volatility and the delay. Furthermore, a deep learning scheme (The code is available in a IPython notebook .) is designed and used to illustrate the effect of the delay feature on the Markowitz portfolio allocation problem with execution delay." @default.
• W3202505006 created "2021-10-11" @default.
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• W3202505006 date "2021-09-23" @default.
• W3202505006 modified "2023-10-05" @default.
• W3202505006 title "Linear-Quadratic Stochastic Delayed Control and Deep Learning Resolution" @default.
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• W3202505006 doi "https://doi.org/10.1007/s10957-021-01923-x" @default.
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