English

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 = α\alpha t--d (bdt + σ\sigmadW 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/σ\sigma) 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.

Keywords

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}
}
R2 v1 2026-06-23T23:19:20.104Z