On the existence of optimal solutions in a stochastic control model

DOI10.1007/BF00940810MaRDI QIDQ795010zbMATH OpenFDO

Authors Erik J. Balder

Publication date 1985

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

Full work available at URL https://doi.org/10.1007/BF00940810

zbMATH Keywords

chance constraintslower semicontinuity for integral functionalsWiener integrals

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)

Review text

An existence result for a stochastic control model with chance constraints is considerably generalized by combining a standard isometry property of Wiener integrals with a well-known lower semicontinuity result for integral functionals.

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Cites work

• A General Approach to Lower Semicontinuity and Lower Closure in Optimal Control Theory
• A Stochastic Control Model with Chance Constraints
• Controlled Ornstein-Uhlenbeck process with chance constraints
• scientific article; zbMATH DE number 3682726 (Why is no real title available?)
• scientific article; zbMATH DE number 3576395 (Why is no real title available?)
• scientific article; zbMATH DE number 3222422 (Why is no real title available?)
• scientific article; zbMATH DE number 3400017 (Why is no real title available?)
• Limited risk control of the ornstein-uhleeck process
• Lower Closure Problems with Weak Convergence Conditions in a New Perspective
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Cited in

(10)

• On extremal solutions to stochastic control problems. II
• scientific article; zbMATH DE number 4014596 (Why is no real title available?)
• scientific article; zbMATH DE number 5951032 (Why is no real title available?)
• scientific article; zbMATH DE number 4006130 (Why is no real title available?)
• scientific article; zbMATH DE number 13605 (Why is no real title available?)
• Optimal control versus stochastic target problems: an equivalence result
• scientific article; zbMATH DE number 1254181 (Why is no real title available?)
• On the Existence of Optimal Policies in Stochastic Control
• On the existence of an optimal control for a stochastic optimization problem with constraints
• New sequential compactness results for spaces of scalarly integrable functions

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