Parameter-dependent Stochastic Optimal Control in Finite Discrete Time
| العنوان: | Parameter-dependent Stochastic Optimal Control in Finite Discrete Time |
|---|---|
| المؤلفون: | José Miguel Zapata-García, Asgar Jamneshan, Michael Kupper |
| سنة النشر: | 2017 |
| مصطلحات موضوعية: | Stochastic control, Mathematical optimization, Control and Optimization, Current (mathematics), Applied Mathematics, 010102 general mathematics, Novelty, Management Science and Operations Research, 01 natural sciences, 010104 statistics & probability, Metric space, Dimension (vector space), Discrete time and continuous time, Optimization and Control (math.OC), Theory of computation, FOS: Mathematics, ddc:510, 0101 mathematics, Mathematics - Optimization and Control, Scope (computer science), Mathematics |
| الوصف: | We prove a general existence result in stochastic optimal control in discrete time where controls take values in conditional metric spaces, and depend on the current state and the information of past decisions through the evolution of a recursively defined forward process. The generality of the problem lies beyond the scope of standard techniques in stochastic control theory such as random sets, normal integrands and measurable selection theory. The main novelty is a formalization in conditional metric space and the use of techniques in conditional analysis. We illustrate the existence result by several examples including wealth-dependent utility maximization under risk constraints with bounded and unbounded wealth-dependent control sets, utility maximization with a measurable dimension, and dynamic risk sharing. Finally, we discuss how conditional analysis relates to random set theory. |
| وصف الملف: | application/pdf |
| اللغة: | English |
| URL الوصول: | https://explore.openaire.eu/search/publication?articleId=doi_dedup___::01262e282b53d8c99a06b407e449ef6c http://arxiv.org/abs/1705.02374 |
| Rights: | OPEN |
| رقم الانضمام: | edsair.doi.dedup.....01262e282b53d8c99a06b407e449ef6c |
| قاعدة البيانات: | OpenAIRE |
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