A dynamic analytic method for risk-aware controlled martingale problems

DOI10.1214/22-aap1794zbMath1518.93154arXiv2006.12450OpenAlexW3036627552MaRDI QIDQ6104008

Jukka Isohätälä, William B. Haskell

Publication date: 5 June 2023

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.12450

zbMATH Keywords

optimal controlstochastic processesnonlinear programmingmartingale problemsforward equation

Mathematics Subject Classification ID

Nonlinear programming (90C30) Generalizations of martingales (60G48) Optimal stochastic control (93E20)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A Fully Asynchronous Multifrontal Solver Using Distributed Dynamic Scheduling
• Discrete time McKean-Vlasov control problem: a dynamic programming approach
• Discounted continuous-time constrained Markov decision processes in Polish spaces
• Time-average control of martingale problems: Existence of a stationary solution
• Time-average control of martingale problems: A linear programming formulation
• Controlled diffusion processes
• A convex analytic approach to Markov decision processes
• Invariant measures and evolution equations for Markov processes characterized via martingale problems
• Convex measures of risk and trading constraints
• Mean-field Markov decision processes with common noise and open-loop controls
• Stochastic differential equations, backward SDEs, partial differential equations
• On the implementation of an interior-point filter line-search algorithm for large-scale nonlinear programming
• Risk measures via \(g\)-expectations
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• Occupation measures for controlled Markov processes: Characterization and optimality
• On convergence determining and separating classes of functions
• Coherent Measures of Risk
• Linear Programming and Sequential Decisions
• RISK MEASURES ON P(R) AND VALUE AT RISK WITH PROBABILITY/LOSS FUNCTION
• Discounted Continuous-Time Markov Decision Processes with Unbounded Rates: The Convex Analytic Approach
• A General Stochastic Maximum Principle for Optimal Control Problems
• Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application
• Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
• On Existence of Limit Occupational Measures Set of a Controlled Stochastic Differential Equation
• Linear programming approach to the optimal stopping of singular stochastic processes
• Randomized and Relaxed Strategies in Continuous-Time Markov Decision Processes
• Approximation of Infinite-Dimensional Linear Programming Problems which Arise in Stochastic Control
• Infinite-Dimensional Linear Programming Approach to SingularStochastic Control
• Infinite Linear Programming and Multichain Markov Control Processes in Uncountable Spaces
• Existence of Markov Controls and Characterization of Optimal Markov Controls
• Linear Programming Formulation for Optimal Stopping Problems
• Discrete-Time Controlled Markov Processes with Average Cost Criterion: A Survey
• Real Analysis and Probability
• More Risk-Sensitive Markov Decision Processes
• Dynamic Risk Measures
• Performance and Scalability of the Block Low-Rank Multifrontal Factorization on Multicore Architectures
• A Convex Analytic Approach to Risk-Aware Markov Decision Processes
• Mean Field Games and Mean Field Type Control Theory
• Probabilistic Theory of Mean Field Games with Applications II
• Optimization of Convex Risk Functions
• Are law-invariant risk functions concave on distributions?
• Optimal Transport
• Stationary solutions and forward equations for controlled and singular martingale problems
• Risk Aware Minimum Principle for Optimal Control of Stochastic Differential Equations

This page was built for publication: A dynamic analytic method for risk-aware controlled martingale problems