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SIAMCO
2010

Optimal Control under Stochastic Target Constraints

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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 Rd+1 P - a.s. at some final time T > 0. When the set is of the form G := {(x, y) Rd
Bruno Bouchard, Romuald Elie, Cyril Imbert
Added 21 May 2011
Updated 21 May 2011
Type Journal
Year 2010
Where SIAMCO
Authors Bruno Bouchard, Romuald Elie, Cyril Imbert
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