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
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.