Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions

DOI10.1137/S0363012900378863zbMATH Open1011.49019WikidataQ57635960 ScholiaQ57635960MaRDI QIDQ4785642FDOQ4785642

Authors: Nizar Touzi, H. Mete Soner 

Publication date: 5 January 2003

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

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zbMATH Keywords

dynamic programmingoptimal stochastic controlvariational inequalitydiscontinuous viscosity solutionsforward-backward SDEs

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stochastic control (93E20)

Cited In (49)

• Continuity of the value function for deterministic optimal impulse control with terminal state constraint
• On the controller-stopper problems with controlled jumps
• Direct characterization of the value of super-replication under stochastic volatility and portfolio constraints.
• Stochastic targets with mixed diffusion processes and viscosity solutions.
• Multiple \(G\)-Itō integral in \(G\)-expectation space
• A multi-marginal c-convex duality theorem for martingale optimal transport
• A verification theorem for optimal stopping problems with expectation constraints
• A STOCHASTIC REPRESENTATION FOR THE LEVEL SET EQUATIONS
• Option hedging for small investors under liquidity costs
• Duality and approximation of stochastic optimal control problems under expectation constraints
• Backward reachability approach to state-constrained stochastic optimal control problem for jump-diffusion models
• Small time path behavior of double stochastic integrals and applications to stochastic control
• A comparison principle for PDEs arising in approximate hedging problems: application to Bermudan options
• A level-set approach to the control of state-constrained McKean-Vlasov equations: application to renewable energy storage and portfolio selection
• The stochastic reach-avoid problem and set characterization for diffusions
• Stochastic Perron for stochastic target games
• The obstacle version of the geometric dynamic programming principle: application to the pricing of American options under constraints
• Quenched mass transport of particles toward a target
• Stochastic target problems with controlled loss
• Partial hedging and cash requirements in discrete time
• Weak dynamic programming principle for viscosity solutions
• Stochastic control and compatible subsets of constraints
• Dynamic programming for stochastic target problems and geometric flows
• State-constrained stochastic optimal control problems via reachability approach
• BSDEs with weak terminal condition
• A stochastic target formulation for optimal switching problems in finite horizon
• Stochastic control/stopping problem with expectation constraints
• Dynamic programming and error estimates for stochastic control problems with maximum cost
• Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation
• Stochastic Perron for stochastic target problems
• A framework for the dynamic programming principle and martingale-generated control correspondences
• Optimal control versus stochastic target problems: an equivalence result
• A backward dual representation for the quantile hedging of Bermudan options
• A converse Lyapunov theorem for almost sure stabilizability
• Time-inconsistent contract theory
• Hedging costs for two large investors
• The dynamic programming equation for a stochastic volatility optimal control problem
• Forward backward SDEs in weak formulation
• Hedging under an expected loss constraint with small transaction costs
• The dynamic programming equation for second order stochastic target problems
• Portfolio optimization under a quantile hedging constraint
• Dual representation of the cost of designing a portfolio satisfying multiple risk constraints
• Stochastic target games with controlled loss
• Stochastic target games and dynamic programming via regularized viscosity solutions
• On dynamic programming principle for stochastic control under expectation constraints
• The multi-dimensional super-replication problem under gamma constraints
• A stochastic target problem for branching diffusion processes
• The risk-sensitive maximum principle for controlled forward-backward stochastic differential equations
• Optimal stopping with expectation constraints

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