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| HAL : hal-00556509, version 1 |
| DOI : 10.1016/j.sysconle.2011.11.010 |
| Fiche détaillée |  Récupérer au format |
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| Systems and Control Letters 61, 2 (2012) 343-346 |
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| Optimal Control versus Stochastic Target problems: An Equivalence Result |
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| Bruno Bouchard 1, 2Minh Ngoc Dang 1 |
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| (06/02/2012) |
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| Within a general abstract framework, we show that any optimal control problem in standard form can be translated into a stochastic target problem as defined in Soner and Touzi (2002), whenever the underlying filtered probability space admits a suitable martingale representation property. This provides a unified way of treating these two classes of stochastic control problems. As an illustration, we show, within a jump diffusion framework, how the Hamilton-Jacobi-Bellman equations associated to an optimal control problem in standard form can be easily retrieved from the partial differential equations associated to its stochastic target counterpart. |
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| 1 : | CEntre de REcherches en MAthématiques de la DEcision (CEREMADE) |
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CNRS : UMR7534 – Université Paris IX - Paris Dauphine |
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| 2 : | Centre de Recherche en Économie et Statistique (CREST) |
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INSEE – École Nationale de la Statistique et de l'Administration Économique |
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| Domaine | : | Mathématiques/Probabilités |
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| Stochastic target – Stochastic control – Viscosity solutions. |
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| Liste des fichiers attachés à ce document : | |||||
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| hal-00556509, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00556509 | |
| oai:hal.archives-ouvertes.fr:hal-00556509 | |
| Contributeur : Bruno Bouchard | |
| Soumis le : Lundi 17 Janvier 2011, 09:33:55 | |
| Dernière modification le : Lundi 9 Janvier 2012, 22:14:34 | |
