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2018
We consider We consider a probability space \(\Omega ,\mathcal {A},P\) equipped with a filtration \(\mathcal {F}^{t}\) and a standard \(P,\mathcal {F}^{t}\) Wiener process with values in R k .
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We consider We consider a probability space \(\Omega ,\mathcal {A},P\) equipped with a filtration \(\mathcal {F}^{t}\) and a standard \(P,\mathcal {F}^{t}\) Wiener process with values in R k .
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Pathwise Stochastic Optimal Control
SIAM Journal on Control and Optimization, 2007This paper approaches optimal control problems for discrete-time controlled Markov processes by representing the value of the problem in a dual Lagrangian form; the value is expressed as an infimum over a family of Lagrangian martingales of an expectation of a pathwise supremum of the objective adjusted by the Lagrangian martingale term.
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Stochastic Optimal Control for Monetary Planning
IFAC Proceedings Volumes, 1983Abstract A method for solving a stochastic optimal control problem, by revising the system random parameters and their covariance matrix, is suggested The method mainly comprises the Bayesian way of updating the reduced form coefficients of an econometric model and their covariance matrix, when implementing optimal control.
A.S. Lazaridis, D.R. Basu
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Stochastic optimal control of annuity contracts
Insurance: Mathematics and Economics, 2003zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Devolder, Pierre +2 more
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IEEE Transactions on Automatic Control, 1969
It is shown that, for a class of stochastic systems, i.e., those in which the cost increases as the distance between the stochastic and the deterministic controls increases, the optimal stochastic control is the conditional expectation of the deterministic control, given the measurement history.
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It is shown that, for a class of stochastic systems, i.e., those in which the cost increases as the distance between the stochastic and the deterministic controls increases, the optimal stochastic control is the conditional expectation of the deterministic control, given the measurement history.
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Optimal control of stochastic delay systems
1992In practical applications the behaviour of many dynamical systems depends not only on their previous history, but also on unknown disturbances.
V. Kolmanovskii, A. Myshkis
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Stochastic Optimal Control Problems
2013This chapter contains some optimal control problems for systems described by stochastic functional and partial differential inclusions. The existence of optimal controls and optimal solutions for such systems is a consequence of the weak compactness of the set \(\mathcal{X}_{sx}(F,G)\) of all weak solutions of (equivalence classes of) SFI(F, G ...
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Deterministic and Stochastic Optimal Control
, 1975W. Fleming, R. Rishel
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