Optimal Control under Stochastic Target Constraints

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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

Bruno Bouchard, Romuald Elie, Cyril Imbert

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Added	21 May 2011
Updated	21 May 2011
Type	Journal
Year	2010
Where	SIAMCO
Authors	Bruno Bouchard, Romuald Elie, Cyril Imbert

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Optimal Control under Stochastic Target Constraints

Auxiliary Value Function | SIAMCO 2010 | State Constraint Problems | Value Function |

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