Distribution‐constrained optimal stopping
From MaRDI portal
Publication:5743126
DOI10.1111/mafi.12171zbMath1411.91540arXiv1604.03042OpenAlexW2962894788MaRDI QIDQ5743126
Christopher W. Miller, Erhan Bayraktar
Publication date: 8 May 2019
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1604.03042
optimal controlstate constraintsoptimal stoppingdistribution constraintsrobust hedging with a volatility outlook
Dynamic programming (90C39) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items
A dynamic programming approach to distribution-constrained optimal stopping, Moment-constrained optimal dividends: precommitment and consistent planning, Optimal Control of Conditional Value-at-Risk in Continuous Time, On dynamic programming principle for stochastic control under expectation constraints, Optimal stopping with expectation constraints, Martingale Optimal Transport with Stopping, Nonlinear PDE Approach to Time-Inconsistent Optimal Stopping, Stochastic optimal transport with free end time, Stopping with expectation constraints: 3 points suffice
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimal mean-variance selling strategies
- A model-free no-arbitrage price bound for variance options
- Optimal stochastic control, stochastic target problems, and backward SDE.
- On the inverse first-passage-time problem for a Wiener process
- Wide stencil finite difference schemes for the elliptic Monge-Ampère equation and functions of the eigenvalues of the Hessian
- Continuous-time stochastic control and optimization with financial applications
- Geometry of distribution-constrained optimal stopping problems
- A verification theorem for optimal stopping problems with expectation constraints
- A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
- Stochastic Perron's method for optimal control problems with state constraints
- A Weak Dynamic Programming Principle for Zero-Sum Stochastic Differential Games with Unbounded Controls
- Nonlinear PDE Approach to Time-Inconsistent Optimal Stopping
- Weak Dynamic Programming Principle for Viscosity Solutions
- Convergent Finite Difference Solvers for Viscosity Solutions of the Elliptic Monge–Ampère Equation in Dimensions Two and Higher
- The convex envelope is the solution of a nonlinear obstacle problem
- Model-Independent Bounds for Asian Options: A Dynamic Programming Approach
- Weak Dynamic Programming for Generalized State Constraints
- Stochastic Perron's Method for Hamilton--Jacobi--Bellman Equations
- Optimal Stopping Rules
- On the inverse of the first passage time probability problem
