On dynamic programming principle for stochastic control under expectation constraints
From MaRDI portal
Abstract: This paper studies the dynamic programming principle using the measurable selection method for stochastic control of continuous processes. The novelty of this work is to incorporate intermediate expectation constraints on the canonical space at each time t. Motivated by some financial applications, we show that several types of dynamic trading constraints can be reformulated into expectation constraints on paths of controlled state processes. Our results can therefore be employed to recover the dynamic programming principle for these optimal investment problems under dynamic constraints, possibly path-dependent, in a non-Markovian framework.
Recommendations
- Weak dynamic programming for generalized state constraints
- Two approaches to stochastic optimal control problems with a final-time expectation constraint
- Maximum principle of optimal stochastic control with terminal state constraint and its application in finance
- scientific article; zbMATH DE number 7733457
- A maximum principle for stochastic optimal control with terminal state constraints, and its applications
Cites work
- A Feasible Directions Algorithm for Optimal Control Problems with State and Control Constraints: Convergence Analysis
- A New Formulation of State Constraint Problems for First-Order PDEs
- A stochastic representation for mean curvature type geometric flows
- Constructing sublinear expectations on path space
- Distribution-constrained optimal stopping
- Dynamic programming for stochastic target problems and geometric flows
- Efficient hedging: cost versus shortfall risk
- Feasible direction algorithm for optimal control problems with state and control constraints: Implementation
- scientific article; zbMATH DE number 3778409 (Why is no real title available?)
- scientific article; zbMATH DE number 695024 (Why is no real title available?)
- Martingale optimal transport with stopping
- Nonlinear elliptic equations with singular boundary conditions and stochastic control with state constraints. I: The model problem
- Optimal control under stochastic target constraints
- Optimal Control with State-Space Constraint I
- Optimal Control with State-Space Constraint. II
- OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
- Optimal lifetime consumption and investment under a drawdown constraint
- Optimal portfolio management with American capital guarantee
- Optimal switching in finite horizon under state constraints
- Quantile hedging
- State-constrained stochastic optimal control problems via reachability approach
- Stochastic optimal control. The discrete time case
- Stochastic Perron's method and verification without smoothness using viscosity comparison: the linear case
- Stochastic target problems with controlled loss
- Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions
- Weak dynamic programming for generalized state constraints
- Weak dynamic programming principle for viscosity solutions
- Wellposedness of second order backward SDEs
Cited in
(18)- Two approaches to stochastic optimal control problems with a final-time expectation constraint
- Optimal control of diffusion processes with terminal constraint in law
- A level-set approach for stochastic optimal control problems under controlled-loss constraints
- Lifetime ruin under high-water mark fees and drift uncertainty
- Dynamic programming principle for stochastic control problems driven by general Lévy noise
- Duality and approximation of stochastic optimal control problems under expectation constraints
- Allocation of Control Points in Stochastic Dynamic-Programming Models
- Weak dynamic programming for generalized state constraints
- Optimal tracking portfolio with a ratcheting capital benchmark
- Moment-constrained optimal dividends: precommitment and consistent planning
- Optimal control of the Fokker-Planck equation under state constraints in the Wasserstein space
- Optimal stopping with expectation constraints
- Optimal filter rules for selling stocks in the emerging stock markets
- A level-set approach to the control of state-constrained McKean-Vlasov equations: application to renewable energy storage and portfolio selection
- Stochastic linear-quadratic control problems with affine constraints
- Stochastic control/stopping problem with expectation constraints
- On the time consistent solution to optimal stopping problems with expectation constraint
- An extended Merton problem with relaxed benchmark tracking
This page was built for publication: On dynamic programming principle for stochastic control under expectation constraints
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2188945)
