e-Article
Risk and deviation measures for a class of optimal control problems with random time horizon
Document Type
Conference
Author
Source
2016 SICE International Symposium on Control Systems (ISCS) Control Systems (ISCS), 2016 SICE International Symposium on. :1-6 Mar, 2016
Subject
Language
Abstract
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.