There are a variety of control problems for controlled diffusions $X_t^u$, with the terminal cost given by $$ J(u)\triangleq \mathbb{E}\left[g(X_T,u)+\int_0^t h(X_t,u_t)ds\right], $$ function $g$ and running cost $h$ are Lipchutz (and nice). Is there any literature on stochastic optimal control problems where the cost is given by $$ \tilde{J}(u)\triangleq G(X_T,u) + \mathbb{E}\left[\int_0^t h(X_t,u_t)ds\right], $$ where $G$ is a convex functional from $L^1(\mathcal{F}_T)\rightarrow \mathbb{R}$?
I'm looking for references and/or the name of this type of control problem. Thanks.

Note: (Of course the cost functionals of the form $\tilde{J}$ generalize those of the form $J$).


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.