Abstract
In this paper, we consider a (control) optimization problem, which involves a stochastic dynamic. The model proposes selecting the best control function that keeps bounded a stochastic process over an interval of time with a high probability level. Here, the stochastic process is governed by a stochastic differential equation affected by a stochastic process. This setting becomes a chance-constrained control optimization problem, where the constraint is given by the probability level of infinitely many random inequalities. Since such a model is challenging, we discretize the dynamic and restrict the space of control functions to piecewise mappings. On the one hand, it transforms the infinite-dimensional optimization problem into a finite-dimensional one. On the other hand, it allows us to provide the well-posedness of the problem and approximation. Finally, the results are illustrated with numerical results, where classical model for the growth of a population are considered.
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