Weak Dynamic Programming Principle for Viscosity Solutions
From MaRDI portal
Publication:3093631
DOI10.1137/090752328zbMath1228.49028OpenAlexW2007849171MaRDI QIDQ3093631
Publication date: 18 October 2011
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/090752328
Dynamic programming in optimal control and differential games (49L20) Nonlinear parabolic equations (35K55) Diffusion processes (60J60) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
Related Items (76)
Regularity properties in a state-constrained expected utility maximization problem ⋮ SHADOW PRICES FOR CONTINUOUS PROCESSES ⋮ The stochastic reach-avoid problem and set characterization for diffusions ⋮ On singular control problems with state constraints and regime-switching: a viscosity solution approach ⋮ Utility maximization in an illiquid market in continuous time ⋮ A dynamic programming approach to distribution-constrained optimal stopping ⋮ On first order mean field game systems with a common noise ⋮ A model-free no-arbitrage price bound for variance options ⋮ Disorder detection with costly observations ⋮ ON THE CREDIT RISK OF SECURED LOANS WITH MAXIMUM LOAN-TO-VALUE COVENANTS ⋮ Optimal transportation under controlled stochastic dynamics ⋮ Simple bounds for utility maximization with small transaction costs ⋮ On the Uniqueness of Unbounded Viscosity Solutions Arising in an Optimal Terminal Wealth Problem with Transaction Costs ⋮ Optimal investment decision under switching regimes of subsidy support ⋮ On the LP formulation in measure spaces of optimal control problems for jump-diffusions ⋮ Zubov's method for controlled diffusions with state constraints ⋮ Zero-sum stochastic differential game in finite horizon involving impulse controls ⋮ Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact ⋮ Model-Independent Bounds for Asian Options: A Dynamic Programming Approach ⋮ On dynamic programming principle for stochastic control under expectation constraints ⋮ Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case ⋮ Diffusive limit approximation of pure-jump optimal stochastic control problems ⋮ Partial differential equation models in macroeconomics ⋮ A zero-sum stochastic differential game with impulses, precommitment, and unrestricted cost functions ⋮ Time-consistent stopping under decreasing impatience ⋮ On the time discretization of stochastic optimal control problems: The dynamic programming approach ⋮ Optimal expansion of business opportunity ⋮ Optimal control versus stochastic target problems: an equivalence result ⋮ Nonzero-Sum Stochastic Impulse Games with an Application in Competitive Retail Energy Markets ⋮ Risk-Sensitive LQG Discounted Control Problems and Their Asymptotic Behavior ⋮ Large deviations principle by viscosity solutions: the case of diffusions with oblique Lipschitz reflections ⋮ Dynamic programming approach to reflected backward stochastic differential equations ⋮ GANs training: A game and stochastic control approach ⋮ Optimal Control Under Uncertainty and Bayesian Parameters Adjustments ⋮ Wellposedness of second order backward SDEs ⋮ Dynamic programming principle for classical and singular stochastic control with discretionary stopping ⋮ An Overview of Viscosity Solutions of Path-Dependent PDEs ⋮ Utility maximisation in a factor model with constant and proportional transaction costs ⋮ Second order backward stochastic differential equations with quadratic growth ⋮ On weak solutions of forward-backward SDEs ⋮ A verification theorem for optimal stopping problems with expectation constraints ⋮ Opaque bank assets and optimal equity capital ⋮ LIQUIDATION OF AN INDIVISIBLE ASSET WITH INDEPENDENT INVESTMENT ⋮ Viscosity Solutions for Controlled McKean--Vlasov Jump-Diffusions ⋮ Lifetime ruin under high-water mark fees and drift uncertainty ⋮ Stochastic control for a class of nonlinear kernels and applications ⋮ The obstacle version of the geometric dynamic programming principle: application to the pricing of American options under constraints ⋮ Maximizing expected terminal utility of an insurer with high gain tax by investment and reinsurance ⋮ Dynamic Portfolio Optimization with Looping Contagion Risk ⋮ Distribution‐constrained optimal stopping ⋮ Utility indifference pricing and hedging for structured contracts in energy markets ⋮ OPTIMAL RISK CONTROL UNDER MARKED POINT PROCESSES SHOCKS: A DYNAMIC PROGRAMMING DUALITY APPROACH ⋮ On a class of singular stochastic control problems driven by Lévy noise ⋮ Infinite Horizon Stochastic Optimal Control Problems with Running Maximum Cost ⋮ Second-Order Stochastic Target Problems with Generalized Market Impact ⋮ A Pseudo-Markov Property for Controlled Diffusion Processes ⋮ A framework for the dynamic programming principle and martingale-generated control correspondences ⋮ Jump-diffusion asset-liability management via risk-sensitive control ⋮ Affine processes under parameter uncertainty ⋮ Optimal inventory management and order book modeling ⋮ Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view ⋮ Second-order BSDEs with jumps: formulation and uniqueness ⋮ Optimal Control of Debt-to-GDP Ratio in an $N$-State Regime Switching Economy ⋮ A Weak Dynamic Programming Principle for Combined Optimal Stopping/Stochastic Control with ${\cal E}^{f}$-expectations ⋮ Dynamic programming principle for stochastic control problems driven by general Lévy noise ⋮ Optimal exploitation of a resource with stochastic population dynamics and delayed renewal ⋮ RISK INDIFFERENCE PRICING IN JUMP DIFFUSION MARKETS ⋮ HEDGE-FUND MANAGEMENT WITH LIQUIDITY CONSTRAINT ⋮ Harvesting and seeding of stochastic populations: analysis and numerical approximation ⋮ Asymptotic Glosten--Milgrom Equilibrium ⋮ Optimal investment and dividend for an insurer under a Markov regime switching market with high gain tax ⋮ Asymptotics for fixed transaction costs ⋮ Dynamic programming and error estimates for stochastic control problems with maximum cost ⋮ Filtering method for linear and non-linear stochastic optimal control of partially observable systems ⋮ Optimal execution with stochastic delay ⋮ A semi-Lagrangian scheme for a degenerate second order mean field game system
This page was built for publication: Weak Dynamic Programming Principle for Viscosity Solutions
