Please use this identifier to cite or link to this item:
http://hdl.handle.net/10397/89353
| Title: | On dynamic programming principle for stochastic control under expectation constraints | Authors: | Chow, YL Yu, X Zhou, C |
Issue Date: | Jun-2020 | Source: | Journal of optimization theory and applications, June 2020, v. 185, no. 3, p. 803-818 | Abstract: | This paper studies the dynamic programming principle using the measurable selection method for stochastic control of continuous processes. The novelty of this work is to incorporate intermediate expectation constraints on the canonical space at each time t. Motivated by some financial applications, we show that several types of dynamic trading constraints can be reformulated into expectation constraints on paths of controlled state processes. Our results can therefore be employed to recover the dynamic programming principle for these optimal investment problems under dynamic constraints, possibly path-dependent, in a non-Markovian framework. | Keywords: | Dynamic programming principle Dynamic trading constraints Intermediate expectation constraints Measurable selection |
Publisher: | Springer | Journal: | Journal of optimization theory and applications | ISSN: | 0022-3239 | EISSN: | 1573-2878 | DOI: | 10.1007/s10957-020-01673-2 | Rights: | © Springer Science+Business Media, LLC, part of Springer Nature 2020 This is a post-peer-review, pre-copyedit version of an article published in Journal of Optimization Theory and Applications. The final authenticated version is available online at: http://dx.doi.org/10.1007/s10957-020-01673-2 |
| Appears in Collections: | Journal/Magazine Article |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| a0601-n10_JOTA-2020.pdf | Pre-Published version | 336.2 kB | Adobe PDF | View/Open |
Access
View full-text via PolyU eLinks 
Page views
23
Last Week
0
0
Last month
Citations as of Jun 4, 2023
Downloads
27
Citations as of Jun 4, 2023
SCOPUSTM
Citations
8
Citations as of Jun 8, 2023
WEB OF SCIENCETM
Citations
6
Citations as of Jun 8, 2023
Google ScholarTM
Check
Altmetric
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.