On dynamic programming principle for stochastic control under expectation constraints
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Publication:2188945
DOI10.1007/S10957-020-01673-2zbMATH Open1447.93374arXiv1802.03954OpenAlexW3023146282MaRDI QIDQ2188945FDOQ2188945
Authors: Yanyan Li 
Publication date: 15 June 2020
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1802.03954
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Cited In (17)
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