Stochastic Dynamic Programming and Control of Markov Processes

DOI10.1007/978-3-319-61282-9_9MaRDI QIDQ4626499zbMATH OpenOpenAlexFDO

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

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) Stochastic programming (90C15) Dynamic programming (90C39) Actuarial science and mathematical finance (91G99) Optimal stochastic control (93E20)

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Cites work

• A weak dynamic programming principle for combined optimal stopping/stochastic control with \({\mathcal E}^{f}\)-expectations
• Consumption-investment problem with transaction costs for Lévy-driven price processes
• Controlled Markov processes and viscosity solutions
• Dynamic programming principle for stochastic control problems driven by general Lévy noise
• scientific article; zbMATH DE number 1325009 (Why is no real title available?)
• scientific article; zbMATH DE number 739283 (Why is no real title available?)
• scientific article; zbMATH DE number 2237386 (Why is no real title available?)
• Optimal stochastic control, stochastic target problems, and backward SDE.

Cited in

(7)

• Optimal investment decision under switching regimes of subsidy support
• Dynamic programming for controlled Markov families: abstractly and over martingale measures
• scientific article; zbMATH DE number 3876945 (Why is no real title available?)
• Allocation of Control Points in Stochastic Dynamic-Programming Models
• scientific article; zbMATH DE number 4074842 (Why is no real title available?)
• scientific article; zbMATH DE number 1254183 (Why is no real title available?)
• Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics

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