A level-set approach for stochastic optimal control problems under controlled-loss constraints
We study a family of optimal control problems under a set of controlled-loss constraints holding at different deterministic dates. The characterization of the associated value function by a Hamilton-Jacobi-Bellman equation usually calls for additional strong assumptions on the dynamics of the proces...
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| Main Authors: | , |
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| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
2020
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| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/143416 |
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| Institution: | Nanyang Technological University |
| Language: | English |