Stochastic Dynamic Programming and Control of Markov Processes

DOI10.1007/978-3-319-61282-9_9zbMATH Open1420.93038OpenAlexW2754320306MaRDI QIDQ4626499FDOQ4626499

Authors: Manuel Guerra 

Publication date: 28 February 2019

Published in: Novel Methods in Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-61282-9_9

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zbMATH Keywords

Markov processoptimal stochastic controlstochastic dynamic programming

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Dynamic programming (90C39) Stochastic programming (90C15) Actuarial science and mathematical finance (91G99) Optimal stochastic control (93E20)

Cites Work

• Controlled Markov processes and viscosity solutions
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• Optimal stochastic control, stochastic target problems, and backward SDE.
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• Consumption-investment problem with transaction costs for Lévy-driven price processes
• Dynamic programming principle for stochastic control problems driven by general Lévy noise
• A weak dynamic programming principle for combined optimal stopping/stochastic control with \({\mathcal E}^{f}\)-expectations

Cited In (7)

• Dynamic programming for controlled Markov families: abstractly and over martingale measures
• Optimal investment decision under switching regimes of subsidy support
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Allocation of Control Points in Stochastic Dynamic-Programming Models
• Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics

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