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Stochastic optimal control subject to variational norm uncertainty ...
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This paper is concerned with optimization of stochastic uncertain systems, when systems are described by measures and the pay-off by a linear functional on ...
The minimization over the admissible controls of the non-linear functional is addressed by deriving a HJB inequality and viscosity subsolution. Throughout the ...
Optimization of stochastic uncertain systems with variational norm constraints · Engineering, Mathematics. IEEE Conference on Decision and Control · 2007.
Missing: viscosity subsolution inequality.
In this paper, we consider stochastic optimal control problems for fully coupled forward-backward stochastic control systems with a nonconvex control domain.
Stochastic optimal control subject to variational norm uncertainty: Viscosity subsolution for generalized HJB inequality . Rezaei, F.; Charalambous ...
Abstract. This paper is concerned with optimization of uncertain stochastic systems, in which uncertainty is described by a total variation distance ...
The general topic of these lectures is the Hamilton-Jacobi-Bellman ap- proach to stochastic control problems, with applications to finance. In the first lecture ...
Missing: norm | Show results with:norm
This paper is concerned with the application of recent results in optimization of stochastic uncertain systems on general abstract spaces, ...
Missing: viscosity subsolution inequality.
The value of a stochastic control problem is normally identical to the viscosity solution of a Hamilton-Jacobi-Bellman (HJB) equation or an HJB variational ...
F. Rezaei, C.D. Charalambous and N.U. Ahmed “Stochastic Optimal Control Subject to Variational Norm Uncertainty: Viscosity Sub-Solutions for Generalized HJB ...