Optimal control theory provides a rigorous mathematical framework for determining control policies that guide dynamical systems towards a desired performance, often by minimising an associated cost ...
The natural Hamiltonian function in optimal control is generally not differentiable. However, it is possible to use the theory of generalized gradients (which we discuss as a preliminary) to obtain ...
Without resorting to dynamic programming, we determine the decumulation strategy for the holder of a defined contribution pension plan. We formulate this as a constrained stochastic optimal control ...
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