Optimal Control versus Stochastic Target problems: An Equivalence Result
Bouchard, Bruno; Dang, Ngoc Minh (2012), Optimal Control versus Stochastic Target problems: An Equivalence Result, Systems & Control Letters, 61, 2, p. 343-346. http://dx.doi.org/10.1016/j.sysconle.2011.11.010
TypeArticle accepté pour publication ou publié
Journal nameSystems & Control Letters
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Abstract (EN)Within a general abstract framework, we show that any optimal control problem instandard form can be translated into a stochastic target problem as de ned in , whenever the underlying ltered probability space admits a suitable martingale representationproperty. This provides a uni ed way of treating these two classes of stochastic con-trol problems. As an illustration, we show, within a jump di usion framework, how theHamilton-Jacobi-Bellman equations associated to an optimal control problem in standard form can be easily retrieved from the partial di erential equations associated to itsstochastic target counterpart.
Subjects / KeywordsStochastic target; stochastic control; viscosity solutions
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Generalized stochastic target problems for pricing and partial hedging under loss constraints - Application in optimal book liquidation Bouchard, Bruno; Dang, Ngoc Minh (2013) Article accepté pour publication ou publié