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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 |
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a0601-n10_JOTA-2020.pdf | Pre-Published version | 336.2 kB | Adobe PDF | View/Open |
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