Stochastic Perron for Stochastic Target Problems
نویسندگان
چکیده
منابع مشابه
Stochastic Perron for Stochastic Target Problems
In this paper, we adapt stochastic Perron’s method to analyze stochastic target problems in a jump diffusion setup, where the controls are unbounded. Since classical control problems can be analyzed under the framework of stochastic target problems (with unbounded controls), we use our results to generalize the results of Bayraktar and Sîrbu (SIAM J Control Optim 51(6):4274–4294, 2013) to probl...
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We consider the problem of finding the minimal initial data of a controlled process which guarantees to reach a controlled target with a given probability of success or, more generally, with a given level of expected loss. By suitably increasing the state space and the controls, we show that this problem can be converted into a stochastic target problem, i.e. find the minimal initial data of a ...
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ژورنال
عنوان ژورنال: Journal of Optimization Theory and Applications
سال: 2016
ISSN: 0022-3239,1573-2878
DOI: 10.1007/s10957-016-0958-2