A level-set approach for stochastic optimal control problems under controlled-loss constraints
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Publication:2198527
DOI10.1007/S10957-020-01724-8zbMATH Open1448.93344arXiv1810.04267OpenAlexW2999063670MaRDI QIDQ2198527FDOQ2198527
Authors: Géraldine Bouveret, Athena Picarelli 
Publication date: 10 September 2020
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Abstract: We study a family of optimal control problems under a set of controlled-loss constraints holding at different deterministic dates. The characterization of the associated value function by a Hamilton-Jacobi-Bellman equation usually calls for additional strong assumptions on the dynamics of the processes involved and the set of constraints. To treat this problem in absence of those assumptions, we first convert it into a state-constrained stochastic target problem and then apply a level-set approach. With this approach, the state constraints can be managed through an exact penalization technique.
Full work available at URL: https://arxiv.org/abs/1810.04267
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