Almost sure optimality and optimality in probabilityfor stochastic control problems over aninfinite time horizon

P. Dai Pra, G.B. Di Masi and B. Trivellato

Annals of Operations Research, 1999, vol. 88, issue 0, 171 pages

Abstract: A pathwise optimality criterion is proposed for stochastic control problems in order toreduce the risk connected with the fluctuations of the cost around its expected value. Thisapproach may be of relevance also in economic applications, where risky situations appearparticularly dangerous. Some examples of applications are examined, in particular for thelinear quadratic Gaussian model. Copyright Kluwer Academic Publishers 1999

Date: 1999
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1023/A:1018974112132 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:annopr:v:88:y:1999:i:0:p:161-171:10.1023/a:1018974112132

Ordering information: This journal article can be ordered from
http://www.springer.com/journal/10479

DOI: 10.1023/A:1018974112132

Access Statistics for this article

Annals of Operations Research is currently edited by Endre Boros

More articles in Annals of Operations Research from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().