Weak Dynamic Programming for Generalized State Constraints

DOI10.1137/110852942zbMath1258.93117arXiv1105.0745OpenAlexW3100618846MaRDI QIDQ4910566

Marcel Nutz, Bruno Bouchard

Publication date: 19 March 2013

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

Full work available at URL: https://arxiv.org/abs/1105.0745

zbMATH Keywords

Hamilton-Jacobi-Bellman equationviscosity solutioncomparison theoremstate constraintweak dynamic programmingexpectation constraint

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Nonlinear parabolic equations (35K55) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items

Regularity properties in a state-constrained expected utility maximization problem ⋮ Hedging Under an Expected Loss Constraint with Small Transaction Costs ⋮ Stochastic optimal control in infinite dimensions with state constraints ⋮ Utility maximization in an illiquid market in continuous time ⋮ A dynamic programming approach to distribution-constrained optimal stopping ⋮ ON THE CREDIT RISK OF SECURED LOANS WITH MAXIMUM LOAN-TO-VALUE COVENANTS ⋮ On the Uniqueness of Unbounded Viscosity Solutions Arising in an Optimal Terminal Wealth Problem with Transaction Costs ⋮ Limits of semistatic trading strategies ⋮ On dynamic programming principle for stochastic control under expectation constraints ⋮ Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation ⋮ Modeling and computation of cost-constrained adaptive environmental management with discrete observation and intervention ⋮ Optimal stopping with expectation constraints ⋮ Dynamic programming principle for classical and singular stochastic control with discretionary stopping ⋮ Stochastic target games with controlled loss ⋮ Stochastic control for a class of nonlinear kernels and applications ⋮ Distribution‐constrained optimal stopping ⋮ On a Class of Path-Dependent Singular Stochastic Control Problems ⋮ A framework for the dynamic programming principle and martingale-generated control correspondences ⋮ Duality and Approximation of Stochastic Optimal Control Problems under Expectation Constraints ⋮ A Weak Dynamic Programming Principle for Combined Optimal Stopping/Stochastic Control with ${\cal E}^{f}$-expectations ⋮ State-Constrained Stochastic Optimal Control Problems via Reachability Approach ⋮ Optimal contracting under mean-volatility joint ambiguity uncertainties ⋮ Backward reachability approach to state-constrained stochastic optimal control problem for jump-diffusion models

This page was built for publication: Weak Dynamic Programming for Generalized State Constraints