Abstract
We study the minimization of the expected costs under stochastic constraint at the terminal time. The first and the main result says that for a power type of costs, the value function is the minimal positive solution of a second order semi-linear ordinary differential equation (ODE). Moreover, we establish the optimal control. In the second example we show that the case of exponential costs leads to a trivial optimal control.
Original language | English |
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Article number | 11 |
Journal | Electronic Communications in Probability |
Volume | 25 |
DOIs | |
State | Published - 2020 |
Keywords
- Backward stochastic differential equations
- Optimal stochastic control
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Statistics, Probability and Uncertainty