Parameter-dependent stochastic optimal control in finite discrete time

DOI10.1007/S10957-020-01711-ZzbMATH Open1448.93346arXiv1705.02374OpenAlexW3042546335MaRDI QIDQ2194133FDOQ2194133

Authors: Asgar Jamneshan, Michael Kupper, José Miguel Zapata-García 

Publication date: 25 August 2020

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Abstract: We prove a general existence result in stochastic optimal control in discrete time where controls take values in conditional metric spaces, and depend on the current state and the information of past decisions through the evolution of a recursively defined forward process. The generality of the problem lies beyond the scope of standard techniques in stochastic control theory such as random sets, normal integrands and measurable selection theory. The main novelty is a formalization in conditional metric space and the use of techniques in conditional analysis. We illustrate the existence result by several examples including wealth-dependent utility maximization under risk constraints with bounded and unbounded wealth-dependent control sets, utility maximization with a measurable dimension, and dynamic risk sharing. Finally, we discuss how conditional analysis relates to random set theory.

Full work available at URL: https://arxiv.org/abs/1705.02374

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zbMATH Keywords

stochastic optimal controlconditional analysisconditional metric spaces

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Set-valued set functions and measures; integration of set-valued functions; measurable selections (28B20)

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Cited In (4)

• The relations among the notions of various kinds of stability and their applications
• A parametric stochastic optimal control problem
• Random optimization on random sets
• Measures and integrals in conditional set theory

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