Optimal control versus stochastic target problems: an equivalence result

DOI10.1016/J.SYSCONLE.2011.11.010zbMATH Open1238.93124OpenAlexW2171777205MaRDI QIDQ414574FDOQ414574

Authors: Bruno Bouchard, Ngoc Minh Dang 

Publication date: 11 May 2012

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sysconle.2011.11.010

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zbMATH Keywords

stochastic controlviscosity solutionsstochastic target

Mathematics Subject Classification ID

Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stochastic control (93E20)

Cites Work

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• The obstacle version of the geometric dynamic programming principle: application to the pricing of American options under constraints

Cited In (15)

• On the controller-stopper problems with controlled jumps
• Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions
• Backward reachability approach to state-constrained stochastic optimal control problem for jump-diffusion models
• A \(C^1\)-Itô's formula for flows of semimartingale distributions
• Stochastic optimal control in infinite dimensions with state constraints
• Stochastic target problems with controlled loss
• State-constrained stochastic optimal control problems via reachability approach
• A stochastic target formulation for optimal switching problems in finite horizon
• Stochastic Perron for stochastic target problems
• Dual formulation of second order target problems
• A level-set approach for stochastic optimal control problems under controlled-loss constraints
• A lending scheme for a system of interconnected banks with probabilistic constraints of failure
• The dynamic programming equation for second order stochastic target problems
• Stochastic target problems with controlled loss in jump diffusion models
• Minimizing the discounted probability of exponential Parisian ruin via reinsurance

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