Optimal control of stochastic functional neutral differential equations with time lag in control

Abstract

In this work, we consider an optimal control problem of a class of stochastic differential equations driven by additive noise with aftereffect appearing in control. We develop a semigroup theory of the driving deterministic neutral system and identify explicitly the adjoint operator of the corresponding infinitesimal generator. We formulate the time delay equation under consideration into an infinite dimensional stochastic control system without time lag by means of the adjoint theory established. Consequently, we can deal with the associated optimal control problem through the study of a Hamilton–Jacob–Bellman (HJB) equation. Last, we present an example whose optimal control can be explicitly determined to illustrate our theory.