Non-robustness with Respect to Intervention Costs in Optimal Control

DOI10.1081/SAP-120028593MaRDI QIDQ3158140zbMATH OpenOpenAlexFDO

Authors Nils Chr. Framstad

Publication date 20 January 2005

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/sap-120028593

zbMATH Keywords

impulse controlintervention costnon-robustnessoptimal control

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Impulsive optimal control problems (49N25) Optimal stochastic control (93E20)

Recommendations

• NON-ROBUSTNESS OF SOME IMPULSE CONTROL PROBLEMS WITH RESPECT TO INTERVENTION COSTS
• Trading robustness with optimality in nonlinear control
• Nonconvexities in Stochastic Control Models
• scientific article; zbMATH DE number 17934
• Robustness inequality for Markov control processes with unbounded costs
• Suboptimal stochastic control strategy and an alternative cost decomposition
• Optimality of robust disturbance-feedback strategies
• ROBUST OPTIMAL CONTROL IN NOT-COMPLETELY CONTROLLABLE LINEAR TIME-VARYING SYSTEMS
• Nonquadratic cost and nonlinear feedback control

Cites work

• NON-ROBUSTNESS OF SOME IMPULSE CONTROL PROBLEMS WITH RESPECT TO INTERVENTION COSTS
• Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
• Optimal investment and consumption with transaction costs
• Optimal stochastic intervention control with application to the exchange rate
• Optimal Switching in an Economic Activity under Uncertainty
• Optimum consumption and portfolio rules in a continuous-time model
• Portfolio Selection with Transaction Costs
• Singular stochastic control, linear diffusions, and optimal stopping: A class of solvable problems
• Stochastic control problems where small intervention costs have big effects

Cited in

(1)

• Stochastic control problems where small intervention costs have big effects

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