Optimal Control under Stochastic Target Constraints

We study a class of Markovian optimal stochastic control problems in which the controlled process Z is constrained to satisfy an a.s. constraint Z (T) G Rd+1 P - a.s. at some final time T > 0. When the set is of the form G := {(x, y) Rd

• Type: Journal
• Year: 2010
• Where: SIAMCO
• Authors: Bruno Bouchard, Romuald Elie, Cyril Imbert
• Keywords: Auxiliary Value Function, SIAMCO 2010, State Constraint Problems, Value Function