Optimal control via FBSDE with dynamic risk penalization: a structuring formulation based on Pontryagin's principle
This paper introduces an innovative framework for dynamically optimizing consumption and investment decisions by integrating a risk penalization mechanism directly into the system’s dynamics. Leveraging Forward-Backward Stochastic Differential Equations (FBSDEs), our approach enables adaptive risk...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Institute of Sciences and Technology, University Center Abdelhafid Boussouf, Mila
2025-07-01
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| Series: | Journal of Innovative Applied Mathematics and Computational Sciences |
| Subjects: | |
| Online Access: | https://jiamcs.centre-univ-mila.dz/index.php/jiamcs/article/view/1950 |
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