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

Authors
Pra, PD Di Masi, GB Trivellato, B
Citation
Pd. Pra et al., Almost sure optimality and optimality in probability for stochastic control problems over an infinite time horizon, ANN OPER R, 88, 1999, pp. 161-171
Citations number
22
Categorie Soggetti
Engineering Mathematics
Journal title
ANNALS OF OPERATIONS RESEARCH
ISSN journal
02545330 → ACNP
Volume
88
Year of publication
1999
Pages
161 - 171
Database
ISI
SICI code
0254-5330(1999)88:<161:ASOAOI>2.0.ZU;2-Y
Abstract
A pathwise optimality criterion is proposed for stochastic control problems in order to reduce the risk connected with the fluctuations of the cost ar ound its expected value. This approach may be of relevance also in economic applications, where risky situations appear particularly dangerous. Some e xamples of applications are examined, in particular for the linear quadrati c Gaussian model.