Almost sure optimality and optimality in probability for stochastic control problems over an infinite time horizon

Almost sure optimality and optimality in probability for stochastic control problems over an infinite time horizon

0.00 Avg rating0 Votes
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: , ,
Abstract:

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.

Reviews

Required fields are marked *. Your email address will not be published.