Noether Theorem in Stochastic Optimal Control Problems via Contact Symmetries

We establish a generalization of the Noether theorem for stochastic optimal control problems. Exploiting the tools of jet bundles and contact geometry, we prove that from any (contact) symmetry of the Hamilton–Jacobi–Bellman equation associated with an optimal control problem it is possible to build...

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Detalhes bibliográficos

Principais autores:	Francesco C. De Vecchi, Elisa Mastrogiacomo, Mattia Turra, Stefania Ugolini
Formato:	Artigo
Idioma:	Inglês
Publicado em:	MDPI AG 2021-04-01
Colecção:	Mathematics
Assuntos:	Noether theorem stochastic optimal control contact symmetries Merton’s optimal portfolio problem
Acesso em linha:	https://www.mdpi.com/2227-7390/9/9/953
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