Linear-quadratic stochastic delayed control and deep learning resolution
Optimization and Control
2021-02-25 v3 Probability
Computational Finance
Abstract
We consider a class of stochastic control problems with a delayed control, both in drift and diffusion, of the type dX t = t--d (bdt + dW t). We provide a new characterization of the solution in terms of a set of Riccati partial differential equations. Existence and uniqueness are obtained under a sufficient condition expressed directly as a relation between the horizon T and the quantity d(b/) 2. Furthermore, a deep learning scheme is designed and used to illustrate the effect of delay on the Markowitz portfolio allocation problem with execution delay.
Cite
@article{arxiv.2102.09851,
title = {Linear-quadratic stochastic delayed control and deep learning resolution},
author = {William Lefebvre and Enzo Miller},
journal= {arXiv preprint arXiv:2102.09851},
year = {2021}
}