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...
| Những tác giả chính: | , |
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| Định dạng: | Journal Article |
| Ngôn ngữ: | English |
| Được phát hành: |
2020
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| Những chủ đề: | |
| Truy cập trực tuyến: | https://hdl.handle.net/10356/143416 |