Hamilton-Jacobi-Bellman equations for the optimal control of dynamical systems with delay

PDE Seminar
Tuesday, January 8, 2013 - 3:05pm
1 hour (actually 50 minutes)
Skiles 006
LUISS University, Rome, Italy
In this talk we first present some applied examples (coming from Economics and Finance) of Optimal Control Problems for Dynamical Systems with Delay (deterministic and stochastic). To treat such problems with the so called Dynamic Programming Approach one has to study a class of infinite dimensional HJB equations for which the existing theory does not apply due to their specific features (presence of state constraints, presence of first order differential operators in the state equation, possible unboundedness of the control operator). We will present some results on the existence of regular solutions for such equations and on existence of optimal control in feedback form.