Thumbnail

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

View/Open
Type
Article accepté pour publication ou publié
Date
2012
Journal name
Systems & Control Letters
Volume
61
Number
2
Publisher
Elsevier
Pages
343-346
Publication identifier
Metadata
Show full item record
Author(s)
Bouchard, Bruno
Dang, Ngoc Minh
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 [17], 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 / Keywords
Stochastic target; stochastic control; viscosity solutions