Pathwise Optimality for Benchmark Tracking

DOI10.1109/TAC.2004.824467zbMath1366.91167OpenAlexW2166956772MaRDI QIDQ5273710

Marco Tolotti, Wolfgang J. Runggaldier, Paolo Dai Pra

Publication date: 12 July 2017

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.2004.824467

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (3)

Ergodic control of diffusions with compound Poisson jumps under a general structural hypothesis ⋮ A singular control problem with an expected and a pathwise ergodic performance criterion ⋮ Sequential entry and exit decisions with an ergodic performance criterion

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