Abstract
We consider stochastic optimal control problems with an additional term representing the variance of the control functions. The latter one may serve as a risk control. We present and treat the problem in a purely analytical way via a Vlasov-McKean functional and Bellman equations with mean field dependence. We obtain global existence and, essentially, optimal global regularity for the solutions of the Bellman equation and the minimizing control. Surprisingly, the risk term simplifies the analysis to a certain extend.
| Original language | English |
|---|---|
| Pages (from-to) | 1535-1549 |
| Journal | SIAM Journal on Control and Optimization |
| Volume | 56 |
| Issue number | 2 |
| Online published | 17 Apr 2018 |
| DOIs | |
| Publication status | Published - 2018 |
Research Keywords
- Bellman equations
- Mean field dependence
- Onlinear parabolic equations
- Risk control
- Stochastic differential games
Publisher's Copyright Statement
- COPYRIGHT TERMS OF DEPOSITED FINAL PUBLISHED VERSION FILE: © 2018 Society for Industrial and Applied Mathematics.
RGC Funding Information
- RGC-funded
Fingerprint
Dive into the research topics of 'Parabolic bellman equations with risk control'. Together they form a unique fingerprint.Projects
- 1 Finished
-
GRF: Mean Field Control with Partial Information
BENSOUSSAN, A. (Principal Investigator / Project Coordinator) & YAM, P.S.-C. (Co-Investigator)
1/01/17 → 1/12/20
Project: Research
Cite this
- APA
- Author
- BIBTEX
- Harvard
- Standard
- RIS
- Vancouver