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arXiv · 1907.02429

A Note on Costs Minimization with Stochastic Target Constraints

Yan Dolinsky·Benjamin Gottesman·Ori Gurel-Gurevich
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Abstract

We study the minimization of the expected costs under stochastic constraint at the terminal time. The first and the main result says that for a power type of costs, the value function is the minimal positive solution of a second order semi--linear ordinary differential equation (ODE). Moreover, we establish the optimal control. In the second example we show that the case of exponential costs leads to a trivial optimal control.

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Yan Dolinsky, Benjamin Gottesman, Ori Gurel-Gurevich. 2019-07-04. A Note on Costs Minimization with Stochastic Target Constraints. https://arxiv.org/abs/1907.02429

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