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

被引：0
|
作者：
Pra, PD [1 ]
Di Masi, GB [1 ]
Trivellato, B [1 ]
机构：
[1] Univ Padua, Dipartimento Matemat Pura & Applicata, I-35131 Padua, Italy
来源：
ANNALS OF OPERATIONS RESEARCH | 1999年 / 88卷
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D O I：
暂无
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
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.
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页码：161 / 171
页数：11
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