Optimal Control of Favorable Games with Expected Loss Constraint

DOI10.1137/050623231zbMath1223.91018OpenAlexW2064207463MaRDI QIDQ3427777

Johannes Leitner

Publication date: 27 March 2007

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/050623231

zbMATH Keywords

stochastic controlgambling theoryinequalities for stochastic processesgain-loss ratioconstraint portfolio optimizationfavorable games

Mathematics Subject Classification ID

Discrete-time games (91A50) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15) Probabilistic games; gambling (91A60)

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