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Parameter-Dependent Stochastic Optimal Control in Finite Discrete Time

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dc.contributor.authorJamneshan, Asgar
dc.contributor.authorKupper, Michael
dc.contributor.authorZapata García, José Miguel
dc.contributor.departmentEstadística e Investigación Operativa
dc.date.accessioned2025-01-26T10:18:56Z
dc.date.available2025-01-26T10:18:56Z
dc.date.issued2020-07-17
dc.description© 2020, The Author(s). This manuscript version is made available under the CC-BY 4.0 license http://creativecommons.org/licenses/by/4.0/. This document is the Published version of a Published Work that appeared in final form in Journal of Optimization Theory and Applications. To access the final edited and published work see https://doi.org/10.1007/s10957-020-01711-z
dc.description.abstractWe prove a general existence result in stochastic optimal control in discrete time, where controls, taking values in conditional metric spaces, depend on the current information and past decisions. The general form of the problem lies beyond the scope of standard techniques in stochastic control theory, the main novelty is a formalization in conditional metric space and the use of conditional analysis. We illustrate the existence result by several examples such as wealth-dependent utility maximization under risk constraints and utility maximization with a conditional dimension. We also provide a discussion as to how our methods compare to techniques based on random sets.es
dc.formatapplication/pdfes
dc.format.extent23
dc.identifier.citationJournal of Optimization Theory and Applications (2020) 186:644–666
dc.identifier.doihttps://doi.org/10.1007/s10957-020-01711-z
dc.identifier.issnPrint:0022-3239
dc.identifier.issnElectronic: 1573-2878
dc.identifier.urihttp://hdl.handle.net/10201/149310
dc.languageenges
dc.relationBecas MTM2014-57838-C2-1-P (MINECO) y Fundación Séneca 20903/PD/18.es
dc.relation.publisherversionhttps://link.springer.com/article/10.1007/s10957-020-01711-z
dc.rightsinfo:eu-repo/semantics/openAccesses
dc.rightsAtribución 4.0 Internacional*
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/*
dc.subjectConditional analysis
dc.subjectStochastic optimal control
dc.subjectConditional metric spaces
dc.titleParameter-Dependent Stochastic Optimal Control in Finite Discrete Timees
dc.typeinfo:eu-repo/semantics/articlees
dspace.entity.typePublicationes
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