Stochastic control/stopping problem with expectation constraints
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Cites work
- A duality approach to problems of combined stopping and deciding under constraints
- A dynamic programming approach to distribution-constrained optimal stopping
- A verification theorem for optimal stopping problems with expectation constraints
- Bounds for a constrained optimal stopping problem
- Compactification methods in the control of degenerate diffusions: existence of an optimal control
- Constructing sublinear expectations on path space
- Distribution-constrained optimal stopping
- Duality and approximation of stochastic optimal control problems under expectation constraints
- Dynamic programming for optimal control problems with delays in the control variable
- Dynamic programming for stochastic target problems and geometric flows
- Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation
- Geometry of distribution-constrained optimal stopping problems
- scientific article; zbMATH DE number 5012789 (Why is no real title available?)
- scientific article; zbMATH DE number 3896138 (Why is no real title available?)
- scientific article; zbMATH DE number 4060392 (Why is no real title available?)
- scientific article; zbMATH DE number 2006037 (Why is no real title available?)
- Lagrangean Methods and Optimal Stopping
- Multidimensional diffusion processes.
- Nonlinear PDE approach to time-inconsistent optimal stopping
- On a constrained optimal stopping problem
- On a Property of the Moment at Which Brownian Motion Attains Its Maximum and Some Optimal Stopping Problems
- On dynamic programming principle for stochastic control under expectation constraints
- On the robust superhedging of measurable claims
- Optimal control under stochastic target constraints
- Optimal detection of a hidden target: the median rule
- Optimal mean-variance portfolio selection
- Optimal stopping with expectation constraints
- Quasi-sure stochastic analysis through aggregation
- Quenched mass transport of particles toward a target
- Stochastic control and differential games with path-dependent influence of controls on dynamics and running cost
- Stochastic control for a class of nonlinear kernels and applications
- Stochastic control with delayed information and related nonlinear master equation
- Stochastic Optimal Control with Delay in the Control I: Solving the HJB Equation through Partial Smoothing
- Stochastic optimal control. The discrete time case
- Stochastic target games with controlled loss
- Stochastic target problems with controlled loss
- Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions
- Stopped Markov decision processes with multiple constraints
- Superreplication under volatility uncertainty for measurable claims
- The dynamic programming equation for second order stochastic target problems
- The obstacle version of the geometric dynamic programming principle: application to the pricing of American options under constraints
- Weak dynamic programming for generalized state constraints
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