A level-set approach for stochastic optimal control problems under controlled-loss constraints

• المؤلفون الرئيسيون: Bouveret, Geraldine, Picarelli, Athena
• مؤلفون آخرون: School of Physical and Mathematical Sciences
• التنسيق: مقال
• اللغة: English
• منشور في: 2020
• الموضوعات: Science::Mathematics; Optimal Control; Viscosity Solutions
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/143416
• المؤسسة: Nanyang Technological University

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...