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