Pathwise Optimality for Benchmark Tracking

DOI10.1109/TAC.2004.824467MaRDI QIDQ5273710zbMATH OpenOpenAlexFDO

Authors Paolo Dai Pra, Wolfgang J. Runggaldier, Marco Tolotti

Publication date 12 July 2017

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tac.2004.824467

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cited in

(4)

• A singular control problem with an expected and a pathwise ergodic performance criterion
• Ergodic control of diffusions with compound Poisson jumps under a general structural hypothesis
• Sequential entry and exit decisions with an ergodic performance criterion
• A discrete-time benchmark tracking problem in two markets subject to random environments

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