RISK AND DEVIATION MEASURES FOR A CLASS OF OPTIMAL CONTROL PROBLEMS WITH RANDOM TIME HORIZON

Links

http://ieeexplore.ieee.org/xpl/articleDetails.jsp?arnumber=7470165

DOI

https://doi.org/10.1109/SICEISCS.2016.7470165
Other version

Ekaterina Gromova
Anastasia Malakhova
Dmitry Gromov

This paper reports on an ongoing research project devoted to the investigation of different risk and deviation measures for a class of optimal control problems with random time horizon. Three optimal control problems related to the optimization of the expected value, the variance, and the second moment of the cost functional are described in detail. The results are illustrated by a numerical example.

Original language	English
Title of host publication	PROCEEDINGS OF 2016 SICE INTERNATIONAL SYMPOSIUM ON CONTROL SYSTEMS (ISCS 2016)
Publisher	IEEE Canada
Pages	77-82
Number of pages	6
DOIs	https://doi.org/10.1109/SICEISCS.2016.7470165
State	Published - 2016
Event	2nd SICE International Symposium on Control Systems (ISCS) - Nagoya, Japan Duration: 7 Mar 2016 → 10 Mar 2016

Conference

Conference	2nd SICE International Symposium on Control Systems (ISCS)
Country/Territory	Japan
City	Nagoya
Period	7/03/16 → 10/03/16

Research areas

Optimal control, Random time horizon, Risk measure, Deviation measure, UNCERTAIN LIFETIME, INSURANCE

ID: 7570568