Stochastic target problems with controlled loss
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Cited in
(49)- A comparison principle for PDEs arising in approximate hedging problems: application to Bermudan options
- Reaching goals under ambiguity: continuous-time optimal portfolio selection
- Dynamic approaches for some time-inconsistent optimization problems
- A verification theorem for optimal stopping problems with expectation constraints
- Two approaches to stochastic optimal control problems with a final-time expectation constraint
- Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation
- Optimal control of diffusion processes with terminal constraint in law
- Stochastic optimal control in infinite dimensions with state constraints
- On dynamic programming principle for stochastic control under expectation constraints
- Quenched mass transport of particles toward a target
- A level-set approach for stochastic optimal control problems under controlled-loss constraints
- A lending scheme for a system of interconnected banks with probabilistic constraints of failure
- On the controller-stopper problems with controlled jumps
- BSDEs with weak terminal condition
- Some non-monotone schemes for time dependent Hamilton-Jacobi-Bellman equations in stochastic control
- Stochastic target games with controlled loss
- A general stochastic target problem with jump diffusion and an application to a hedging problem for large investors
- Error estimates for second order Hamilton-Jacobi-Bellman equations. Approximation of probabilistic reachable sets
- 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
- A stochastic target approach for P\&L matching problems
- Almost-sure hedging with permanent price impact
- Hedging under an expected loss constraint with small transaction costs
- Stochastic target problems with controlled loss in jump diffusion models
- Stochastic Perron for stochastic target problems
- Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem
- Optimal control versus stochastic target problems: an equivalence result
- Outperforming the market portfolio with a given probability
- Portfolio optimization under a quantile hedging constraint
- Risk minimizing strategies for tracking a stochastic target
- Time-inconsistent Markovian control problems under model uncertainty with application to the mean-variance portfolio selection
- Partial hedging and cash requirements in discrete time
- Hedging under multiple risk constraints
- Dual representation of the cost of designing a portfolio satisfying multiple risk constraints
- Portfolio liquidation in dark pools in continuous time
- A numerical scheme for the quantile hedging problem
- A new Mertens decomposition of \(\mathscr{Y}^{g , \xi} \)-submartingale systems. Application to BSDEs with weak constraints at stopping times
- Optimal control of the Fokker-Planck equation under state constraints in the Wasserstein space
- A stochastic target problem for branching diffusion processes
- Optimal stopping with expectation constraints
- Portfolio insurance under a risk-measure constraint
- Mean viability theorems and second-order Hamilton-Jacobi equations
- Stochastic control/stopping problem with expectation constraints
- Closed-loop equilibria for Stackelberg games: a story about stochastic targets
- Mean-field limit for stochastic control problems under state constraint
- Optimality conditions in variational form for non-linear constrained stochastic control problems
- The obstacle version of the geometric dynamic programming principle: application to the pricing of American options under constraints
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