On the existence of optimal solutions in a stochastic control model

DOI10.1007/BF00940810zbMATH Open0541.93078MaRDI QIDQ795010FDOQ795010

Erik J. Balder

Publication date: 1985

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

zbMATH Keywords

chance constraintsWiener integralslower semicontinuity for integral functionals

Mathematics Subject Classification ID

Methods involving semicontinuity and convergence; relaxation (49J45) Existence of optimal solutions to problems involving randomness (49J55) Weak and generalized continuity (54C08) Optimal stochastic control (93E20)

Cites Work

• On Lower Semicontinuity of Integral Functionals. I
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• A General Approach to Lower Semicontinuity and Lower Closure in Optimal Control Theory
• Weak lower semicontinuity of integral functionals
• Lower Semicontinuity of Integral Functionals with Nonconvex Integrands by Relaxation-Compactification
• A Stochastic Control Model with Chance Constraints
• Controlled Ornstein-Uhlenbeck process with chance constraints
• Lower Closure Problems with Weak Convergence Conditions in a New Perspective
• On existence problems for the optimal control of certain nonlinear integral equations of Urysohn type
• Limited risk control of the ornstein-uhleeck process

Cited In (9)

• On extremal solutions to stochastic control problems. II
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the Existence of Optimal Policies in Stochastic Control
• Title not available (Why is that?)
• New sequential compactness results for spaces of scalarly integrable functions
• Title not available (Why is that?)
• Optimal control versus stochastic target problems: an equivalence result

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