Article ID: | iaor20014071 |
Country: | Netherlands |
Volume: | 88 |
Start Page Number: | 161 |
End Page Number: | 171 |
Publication Date: | Jun 1999 |
Journal: | Annals of Operations Research |
Authors: | Pra P. Dai, Masi G.B. Di, Trivellato B. |
A pathwise optimality criterion is proposed for stochastic control problems in order to reduce the risk connected with the fluctuations of the cost around its expected value. This approach may be of relevance also in economic applications, where risky situations appear particularly dangerous. Some examples of applications are examined, in particular for the linear quadratic Gaussian model.