Parameter-dependent stochastic optimal control in finite discrete time

DOI10.1007/S10957-020-01711-ZMaRDI QIDQ2194133zbMATHOpenAlexFDO

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)

Copyright license Creative Commons Attribution 4.0 International

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

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)

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.

Recommendations

• scientific article; zbMATH DE number 591276
• A parametric problem of optimal stochastic control
• On a discrete optimal control problem with incomplete information
• On the existence of an optimal control for a stochastic optimization problem with constraints
• scientific article; zbMATH DE number 4095365

Cites work

• scientific article; zbMATH DE number 3465097 (Why is no real title available?)
• Approaches to conditional risk
• Complete duality for quasiconvex dynamic risk measures on modules of the \(L^p\)-type
• Conditional analysis on \(\mathbb R^d\)
• Conditional and dynamic convex risk measures
• Conditional certainty equivalent
• Conditional cores and conditional convex hulls of random sets
• Conditional preference orders and their numerical representations
• Continuous versus measurable recourse in N-stage stochastic programming
• Convex duality in stochastic optimization and mathematical finance
• Deterministic and stochastic optimization problems of bolza type in discrete time
• Duality and optimality conditions in stochastic optimization and mathematical finance
• Dynamic assessment indices
• Dynamic risk measures
• Equilibrium pricing in incomplete markets under translation invariant preferences
• Hedging of claims with physical delivery under convex transaction costs
• Integrals, conditional expectations, and martingales of multivalued functions
• Markets with transaction costs. Mathematical theory.
• Optimal consumption and investment in incomplete markets with general constraints
• Shadow price of information in discrete time stochastic optimization
• Stochastic optimal control. The discrete time case
• Stochastic programs without duality gaps
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Temporal Resolution of Uncertainty and Dynamic Choice Theory
• Temporal von Neumann-Morgenstern and induced preferences
• The Optimal Recourse Problem in Discrete Time: $L^1 $-Multipliers for Inequality Constraints
• The algebra of conditional sets and the concepts of conditional topology and compactness
• Theory of Random Sets
• Variational Analysis

Cited in

(4)

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

This page was built for publication: Parameter-dependent stochastic optimal control in finite discrete time

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2194133)