All Questions
Tagged with stochastic-calculus oc.optimization-and-control
14 questions
5
votes
0
answers
275
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stochastic control / geometric mean
Consider the following problem:
Given $\Omega$ and $U$ two symmetric definite positive matrices, choose a matrix $K$ to minimize the expectation $x' \Omega x + x'K'UKx$ when $x$ follows the invariant ...
- 427
4
votes
1
answer
610
views
Stochastic differential equation associated with an optimal control problem
We know how to find the stochastic differential equation (Hamilton-Jacobi-Bellman equation, HJB) of the control problem where a process $X_t$ is controlled up until it is stopped at a stopping time $\...
- 355
4
votes
0
answers
696
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Dynamic programming principle (DPP)
In stochastic control problem, one shall use the measurable selection theorem to prove DPP. It was discussed in discrete time case in [Bertsekas and Shreve 1978]. Is there unified framework in ...
- 1,399
3
votes
1
answer
627
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Generalizing HJB equation for a terminal stopping time
The following is one version of the Hamilton–Jacobi–Bellman (HJB) equation:
Suppose we have a Brownian motion $W$ and a counting process $N$ with a stochastic intensity $\lambda$ on a time interval $[...
- 85
3
votes
1
answer
299
views
Upper bound concerning Snell envelope
Consider, on a filtred probability space $ \left (\Omega, \mathcal F, \mathbb F , \mathbb P \right )$ where $ \mathbb F = \left(\mathcal F_ t \right )_ {t\geq 0}$ is filtration satisfying the usuual ...
- 99
2
votes
1
answer
207
views
Elliptic PDEs in BSDEs and in optimal control
This soft/reference question is related to this MO post of a similar nature.
What are some examples of elliptic PDEs appearing in control and BSDEs?
- 5,405
2
votes
0
answers
94
views
Lyapunov function utility in stochastic optimal control
The article Optimal strategy of vaccination and treatment in an SIRS model with Markovian switching by (X.Mu, Q.Zhang) studies necessary and sufficient conditions on near-optimal controls.
In both ...
- 141
2
votes
0
answers
291
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Stochastic Optimal Control - Maximizing convex terminal costs
The theory of stochastic optimal control deals with the following problem:
Find $\quad\sup\limits_{u} \; \mathrm E[g(X^{(u,x)}_T)]$
where $X^{(u,x)}_t$ solves the following controlled SDE:
$dX_t=\...
- 305
1
vote
2
answers
2k
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Deriving the HJB equation for exponential utility
I would like to derive the HJB equation for the following stochastic optimal control problem:
$ \Phi(t,x)=\sup_{h} E \left[\exp \left\{\gamma \int_t^T g(X_s,h(s);\gamma)\ ds \right\} \right]$
where ...
- 111
1
vote
0
answers
95
views
A stochastic optimal control problem with filtering-like dynamics
I want to extend the following stochastic optimal control problem with randomized feedback control to the continuous time case
\begin{align}
\text{minimize}\quad \mathbb{E}_{\mathbb{H}}&\bigg[\...
- 303
1
vote
0
answers
464
views
Reference request: Introduction to stochastic control theory
I’m looking for a nice readable introductory text to stochastic control theory. Background wise, I know some general stochastic analysis and deterministic optimal control theory.
Some criterion I’m ...
1
vote
0
answers
59
views
Representation of optimal controls as diffusions
In reading this post I couldn't help but wonder the following question:
Let $\sigma>0$ and suppose, as in the motivational post, we are given a stochastic optimal control problem:
$$
\begin{...
- 5,405
1
vote
0
answers
79
views
Stochastic Control with Stochastic Cost-functional
Is there any literature dealing with a stochastic control problem whose cost-functional $J_t$ is stochastic also?
That is, let $X_t^u$ is the solution to a controlled SDE
$$
dX_t = \mu(t,u_t,X_t^u)dt ...
- 5,405
0
votes
0
answers
77
views
Law of motion when initial condition is perturbed
We know how to find the law of motion (Ito process) of the value function:
$$V_t(x)=E\Big{[}\int^{T}_te^{-r (s-t)}f(s,X_s)ds+e^{-r (T-t)}g(T, X_{T})|\mathcal{F}_t\Big{]}$$
such that
$$dX_t=\mu(t,X_t)...
- 355