Linear-quadratic stochastic delayed control and deep learning resolution
Résumé
We consider a class of stochastic control problems with a delayed control, both in drift and diffusion, of the type dX t = α t−d (bdt + σdW 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) 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.
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