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Stochastic Optimal Control with Delay in the Control II: Verification Theorem and Optimal Feedbacks (1607.06508v2)

Published 21 Jul 2016 in math.PR

Abstract: We consider a stochastic optimal control problem governed by a stochastic differential equation with delay in the control. Using a result of existence and uniqueness of a sufficiently regular mild solution of the associated Hamilton-Jacobi-BeLLMan (HJB) equation, see the companion paper "Stochastic Optimal Control with Delay in the Control I: solving the HJB equation through partial smoothing ", we solve the control problem by proving a Verification Theorem and the existence of optimal feedback controls.