Optimal control versus stochastic target problems: an equivalence result

DOI10.1016/j.sysconle.2011.11.010zbMath1238.93124OpenAlexW2171777205MaRDI QIDQ414574

Ngoc Minh Dang, Bruno Bouchard

Publication date: 11 May 2012

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sysconle.2011.11.010

zbMATH Keywords

stochastic controlviscosity solutionsstochastic target

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (8)

Stochastic Perron for stochastic target problems ⋮ Stochastic optimal control in infinite dimensions with state constraints ⋮ A level-set approach for stochastic optimal control problems under controlled-loss constraints ⋮ A lending scheme for a system of interconnected banks with probabilistic constraints of failure ⋮ Minimizing the Discounted Probability of Exponential Parisian Ruin via Reinsurance ⋮ State-Constrained Stochastic Optimal Control Problems via Reachability Approach ⋮ On the controller-stopper problems with controlled jumps ⋮ Backward reachability approach to state-constrained stochastic optimal control problem for jump-diffusion models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The obstacle version of the geometric dynamic programming principle: application to the pricing of American options under constraints
• Point processes and queues. Martingale dynamics
• Dynamic programming for stochastic target problems and geometric flows
• Explicit solution to the multivariate super-replication problem under transaction costs.
• Direct characterization of the value of super-replication under stochastic volatility and portfolio constraints.
• Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation
• Controlled Markov processes and viscosity solutions
• Stochastic targets with mixed diffusion processes and viscosity solutions.
• Weak Dynamic Programming Principle for Viscosity Solutions
• Stochastic Target Problems with Controlled Loss
• Optimal Control under Stochastic Target Constraints
• A stochastic target formulation for optimal switching problems in finite horizon
• Superreplication Under Gamma Constraints
• Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions

This page was built for publication: Optimal control versus stochastic target problems: an equivalence result