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Avtomatika i Telemekhanika, 2019, Issue 8, Pages 64–75
DOI: https://doi.org/10.1134/S0005231019080063 (Mi at15316) 		 
This article is cited in 3 scientific papers (total in 3 papers)

Control in Technical Systems

Optimal control problems with disorder

G. I. Belyavskiiab, N. V. Danilovaab, I. A. Zemlyakovaab

a Vorovich Institute of Mathematics, Mechanics, and Computer Science, Rostov-on-Don, Russia
b Southern Federal University, Rostov-on-Don, Russia
Full-text PDF (762 kB) Citations (3)
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DOI: https://doi.org/10.1134/S0005231019080063
Abstract: We consider a generalization of processes with disorder, namely processes with a vector disorder. For these problems, we consider a class of optimal control problems that do not detect the disorder. We propose a computational method for solving control problems on a finite time interval and with an objective functional defined at the end of the interval, based on the use of the martingale technique. We consider a computational experiment for a model with two barriers and two stopping times.
Keywords: processes with disorder, vector disorder, martingale, martingale measure, Wiener process, quantile hedging.
Funding agency Grant number
Russian Science Foundation 17-19-01038
This work was financially supported by the Russian Science Foundation, project no. 17-19-01038.

Received: 23.10.2018
Revised: 23.02.2019
Accepted: 25.04.2019
English version:
Automation and Remote Control, 2019, Volume 80, Issue 8, Pages 1419–1427
DOI: https://doi.org/10.1134/S0005117919080046
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: G. I. Belyavskii, N. V. Danilova, I. A. Zemlyakova, “Optimal control problems with disorder”, Avtomat. i Telemekh., 2019, no. 8, 64–75; Autom. Remote Control, 80:8 (2019), 1419–1427
Citation in format AMSBIB
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  • https://www.mathnet.ru/eng/at/y2019/i8/p64
    • This publication is cited in the following 3 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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