Existence of optimal controls for variance control

MaRDI QIDQ4227217zbMATH OpenFDO

Authors Harold J. Kushner

Publication date 23 February 1999

zbMATH Keywords

approximationexistencemartingale measureoptimal stochastic controlsvariance control

Mathematics Subject Classification ID

Existence theories for optimal control problems involving ordinary differential equations (49J15) Optimal stochastic control (93E20)

Review text

The author reviews classical results on approximation and existence of optimal stochastic controls as developed in the framework of controlling only the drift and motivated by models in mathematics of finance. He outlines the extension necessary if the control occurs also in the variance term. For the entire collection see [Zbl 0905.00042].

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Cited in

(1)

• Conditions when minimum variance control is the optimal experiment for identifying a minimum variance controller

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