Optimal Control under Stochastic Target Constraints
نویسندگان
چکیده
منابع مشابه
Optimal Control under Stochastic Target Constraints
We study a class of Markovian optimal stochastic control problems in which the controlled process Z is constrained to satisfy an a.s. constraint Z(T ) ∈ G ⊂ R P − a.s. at some final time T > 0. When the set is of the form G := {(x, y) ∈ R × R : g(x, y) ≥ 0}, with g non-decreasing in y, we provide a Hamilton-Jacobi-Bellman characterization of the associated value function. It gives rise to a sta...
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ژورنال
عنوان ژورنال: SIAM Journal on Control and Optimization
سال: 2010
ISSN: 0363-0129,1095-7138
DOI: 10.1137/090757629