A class of stochastic optimal control problems with state constraint

DOI10.1512/iumj.2002.51.2079zbMath1049.93091OpenAlexW2021401963MaRDI QIDQ4431158

Hitoshi Ishii, Paola Loreti

Publication date: 13 October 2003

Published in: Indiana University Mathematics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1512/iumj.2002.51.2079

zbMATH Keywords

state constraintsdynamic programmingviscosity solutionstochastic optimal control

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items

On a parabolic Hamilton-Jacobi-Bellman equation degenerating at the boundary ⋮ PORTFOLIO OPTIMIZATION UNDER A QUANTILE HEDGING CONSTRAINT ⋮ Singular control with state constraints on unbounded domain ⋮ Remarks on the vanishing viscosity process of state-constraint Hamilton-Jacobi equations ⋮ A level-set approach for stochastic optimal control problems under controlled-loss constraints ⋮ Pension funds with a minimum guarantee: a stochastic control approach ⋮ Optimal management of pumped hydroelectric production with state constrained optimal control ⋮ Viscosity characterization of the value function of an investment-consumption problem in presence of an illiquid asset ⋮ State-Constrained Stochastic Optimal Control Problems via Reachability Approach ⋮ Backward reachability approach to state-constrained stochastic optimal control problem for jump-diffusion models