Stochastic Optimal Control with Delay in the Control II: Verification   Theorem and Optimal Feedbacks
  We consider a stochastic optimal control problem governed by a stochastic differential equation with delay in the control. Using a result of existence and uniqueness of a sufficiently regular mild solution of the associated Hamilton-Jacobi-Bellman (HJB) equation, see the companion paper "Stochastic Optimal Control with Delay in the Control I: solving the HJB equation through partial smoothing ", we solve the control problem by proving a Verification Theorem and the existence of optimal feedback controls. 
F. Gozzi, F. Masiero
math.PR