Dynamic programming for controlled Markov families: abstractly and over martingale measures

DOI10.1137/130926481MaRDI QIDQ3192135zbMATH OpenOpenAlexFDO

Authors Gordan Žitković

Publication date 26 September 2014

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1307.5163

zbMATH Keywords

dynamic programmingMarkov processesfinancial mathematicsoptimal stochastic controlutility maximizationlower hedging

Mathematics Subject Classification ID

Dynamic programming (90C39) Continuous-time Markov processes on general state spaces (60J25) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Abstract: We describe an abstract control-theoretic framework in which the validity of the dynamic programming principle can be established in continuous time by a verification of a small number of structural properties. As an application we treat several cases of interest, most notably the lower-hedging and utility-maximization problems of financial mathematics both of which are naturally posed over ``sets of martingale measures.

Recommendations

• A framework for the dynamic programming principle and martingale-generated control correspondences
• scientific article; zbMATH DE number 7733457
• Singular Optimal Stochastic Controls II: Dynamic programming
• Dynamic programming for semi-Markov modulated SDEs
• Stochastic Dynamic Programming and Control of Markov Processes

Cited in

(11)

• Model-Independent Bounds for Asian Options: A Dynamic Programming Approach
• A framework for the dynamic programming principle and martingale-generated control correspondences
• Dynamic programming via measurable selection
• scientific article; zbMATH DE number 7733457 (Why is no real title available?)
• Controlled measure-valued martingales: a viscosity solution approach
• A dynamic programming approach to distribution-constrained optimal stopping
• Dynamic programming principle for classical and singular stochastic control with discretionary stopping
• Duality in optimal consumption-investment problems with alternative data
• Facelifting in utility maximization
• Finitely additive dynamic programming
• McKean-Vlasov optimal control: the dynamic programming principle

This page was built for publication: Dynamic programming for controlled Markov families: abstractly and over martingale measures

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3192135)