[PDF] Top 20 On some stochastic control problems with state constraints

... optimal control problems set in a deterministic framework, whereas second order equations arise in the stochastic ...associated with optimal control problems for controlled ... Voir le document complet

... deals with (deterministic) optimal control problems of an ordinary differential equation subject to one or several state constraints, of arbitrary orders, in the case when the ... Voir le document complet

... optimal control problems with running state ...optimal control prob- ...the control enters in (a derivative of) the state constraint, appeared in Bryson, Denham and ... Voir le document complet

... deals with the existence of optimal controls, the material of these sections is rather standard but is included for the sake of ...unconstrained control, we first establish the Euler-Lagrange equations of ... Voir le document complet

... optimal control problems with nal-state constraints, parameterized by a perturbation ...solutions with respect to the set of feasible controls with a uniform norm smaller ... Voir le document complet

... Key-words: Optimal control, state constraint, higher order, mixed control-state constraint, junction conditions, necessary or sufficient second-order optimality conditions, shooting algo[r] ... Voir le document complet

... Unite´ de recherche INRIA Lorraine, Technopoˆle de Nancy-Brabois, Campus scientifique, 615 rue du Jardin Botanique, BP 101, 54600 VILLERS LE`S NANCY Unite´ de recherche INRIA Rennes, Iri[r] ... Voir le document complet

... Unité de recherche INRIA Rhône-Alpes 655, avenue de l’Europe - 38334 Montbonnot Saint-Ismier France Unité de recherche INRIA Futurs : Parc Club Orsay Université - ZAC des Vignes 4, rue J[r] ... Voir le document complet

... pure state constraints and end point constraints, useful in applications. Further our abstract approach allows to apply the results of this paper directly to different kinds of control ... Voir le document complet

... (5.8), with three different stages corresponding respectively to s P r0, t i,1 s, s P rt i,1 , t i,2 s and s ě t i,2 ...after some algebra, we get ... Voir le document complet

... optimal control problem of the heat equation by a distributed control over a subset of the domain, in the presence of a state ...optimal control of partial differential equations, we show that ... Voir le document complet

... 3. Stochastic optimal control without constraints We now consider a more general case in which a controlled dynamical system is influenced by modeled exogenous ...minimize some objective ... Voir le document complet

... dealing with large-scale optimization problems, the decomposition/coordi- nation approach aims at finding a solution to the original problem by iteratively solving several smaller-dimensional ...open-loop ... Voir le document complet

... super-hedging problems in mathematical ...link with PDEs in a general Markovian framework for Brownian diffusion processes was established in [16], and extended to jump diffusion processes in [1] whose main ... Voir le document complet

... For some general optimization problems, Robinson’s con- straint qualification ...optimal control problem, due to the two-norms discrepancy, but it does for a linear-quadratic problem (see the proof ... Voir le document complet

... We deduce that for every p ∈ F (x), we have D ↑ u(t, x)(1, −p) ≤ 0 and (iii) holds true. Step 3. The assertion (iii)=⇒(ii) can be obtained by using similar arguments as in [15, Theorem 3.3]. Let us point out that the ... Voir le document complet

... deal with the wind production error forecast in a stylized discrete time ...price with a deterministic inverse demand function, and the intraday price is not a risk ... Voir le document complet

... optimal control problems with pure state and mixed control-state ...optimal control problem [27]: a partial relaxation of the problem, based on the sliding modes ... Voir le document complet

... ≤ 0 a.e. t ∈ [0, 1]. 6 Application to a financial market problem : the model of Jouini-Koehl-Touzi ([5] , [6]) we shall consider the regular case as in [5]. Following [5] let us present this model. The financial market ... Voir le document complet

... for control problems, which amounts to characterize the epigraph of the value function (see [20] for instance, or [13] for further references on the ... Voir le document complet