State-constrained stochastic optimal control problems via reachability approach
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Hamilton-Jacobi equationsstate constraintsstochastic optimal controlstochastic target problemsviscosity solution
Nonlinear parabolic equations (35K55) Existence of optimal solutions to problems involving randomness (49J55) Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stochastic control (93E20)
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Cites work
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- scientific article; zbMATH DE number 1254167 (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?)
- scientific article; zbMATH DE number 1148557 (Why is no real title available?)
- Infinite horizon problems on stratifiable state-constraints sets
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Cited in
(13)- A comparison principle for PDEs arising in approximate hedging problems: application to Bermudan options
- A verification theorem for optimal stopping problems with expectation constraints
- Backward reachability approach to state-constrained stochastic optimal control problem for jump-diffusion models
- Stochastic optimal control in infinite dimensions with state constraints
- On dynamic programming principle for stochastic control under expectation constraints
- On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration
- A level-set approach for stochastic optimal control problems under controlled-loss constraints
- The risk-sensitive maximum principle for controlled forward-backward stochastic differential equations
- Optimal management of pumped hydroelectric production with state constrained optimal control
- Duality and approximation of stochastic optimal control problems under expectation constraints
- Hamilton-Jacobi-Bellman equations
- A level-set approach to the control of state-constrained McKean-Vlasov equations: application to renewable energy storage and portfolio selection
- On the infinite time solution to state-constrained stochastic optimal control problems
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