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2020 A note on costs minimization with stochastic target constraints
Yan Dolinsky, Benjamin Gottesman, Gurel-Gurevich Ori
Electron. Commun. Probab. 25: 1-12 (2020). DOI: 10.1214/20-ECP295

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.

Citation

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Yan Dolinsky. Benjamin Gottesman. Gurel-Gurevich Ori. "A note on costs minimization with stochastic target constraints." Electron. Commun. Probab. 25 1 - 12, 2020. https://doi.org/10.1214/20-ECP295

Information

Received: 26 November 2019; Accepted: 27 January 2020; Published: 2020
First available in Project Euclid: 30 January 2020

zbMATH: 1440.49023
MathSciNet: MR4066304
Digital Object Identifier: 10.1214/20-ECP295

Subjects:
Primary: 49J15, 60H30, 93E20

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