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...
Main Authors: | Bouveret, Geraldine, Picarelli, Athena |
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Other Authors: | School of Physical and Mathematical Sciences |
Format: | Journal Article |
Language: | English |
Published: |
2020
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Subjects: | |
Online Access: | https://hdl.handle.net/10356/143416 |
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