A level-set approach for stochastic optimal control problems under controlled-loss constraints
From MaRDI portal
(Redirected from Publication:2198527)
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.
Recommendations
- Optimal control under stochastic target constraints
- State-constrained stochastic optimal control problems via reachability approach
- A level set approach for the solution of a state-constrained optimal control problem
- scientific article; zbMATH DE number 2134035
- Stochastic Perron's method for optimal control problems with state constraints
Cites work
- scientific article; zbMATH DE number 3126094 (Why is no real title available?)
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- scientific article; zbMATH DE number 695024 (Why is no real title available?)
- A STOCHASTIC REPRESENTATION FOR THE LEVEL SET EQUATIONS
- A backward dual representation for the quantile hedging of Bermudan options
- A class of stochastic optimal control problems with state constraint
- A comparison principle for PDEs arising in approximate hedging problems: application to Bermudan options
- A maximum principle for stochastic optimal control with terminal state constraints, and its applications
- Constrained utility deviation-risk optimization and time-consistent HJB equation
- Controlled Markov processes and viscosity solutions
- Deep backward schemes for high-dimensional nonlinear PDEs
- Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
- Dual representation of the cost of designing a portfolio satisfying multiple risk constraints
- Dynamic programming for stochastic target problems and geometric flows
- Ellipsoidal Techniques for Reachability Under State Constraints
- First and second order necessary conditions for stochastic optimal control problems
- Fronts propagating with curvature-dependent speed: Algorithms based on Hamilton-Jacobi formulations
- Long time average of first order mean field games and weak KAM theory
- Mean-field games of optimal stopping: a relaxed solution approach
- Necessary optimality conditions for local minimizers of stochastic optimal control problems with state constraints
- Numerical approximation for a superreplication problem under gamma constraints
- On dynamic programming principle for stochastic control under expectation constraints
- Optimal control under stochastic target constraints
- Optimal control versus stochastic target problems: an equivalence result
- PORTFOLIO MANAGEMENT WITH CONSTRAINTS
- Portfolio optimization under a quantile hedging constraint
- Reachability and Minimal Times for State Constrained Nonlinear Problems without Any Controllability Assumption
- Robust utility maximization with limited downside risk in incomplete markets
- State-constrained stochastic optimal control problems via reachability approach
- Stochastic optimal control. The discrete time case
- Stochastic target problems with controlled loss
- The Dirichlet Problem for Semilinear Second-Order Degenerate Elliptic Equations and Applications to Stochastic Exit Time Control Problems
- The multi-dimensional super-replication problem under gamma constraints
- Two approaches to stochastic optimal control problems with a final-time expectation constraint
- User’s guide to viscosity solutions of second order partial differential equations
- Utility-deviation-risk portfolio selection
- Viscosity solutions of fully nonlinear second-order elliptic partial differential equations
- Zubov's method for controlled diffusions with state constraints
Cited in
(5)- Stochastic optimal control in infinite dimensions with state constraints
- Loss control regions in optimal control problems
- A level-set approach to the control of state-constrained McKean-Vlasov equations: application to renewable energy storage and portfolio selection
- State-constrained stochastic optimal control problems via reachability approach
- Optimal control under stochastic target constraints
This page was built for publication: A level-set approach for stochastic optimal control problems under controlled-loss constraints
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2198527)
