Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/89353
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dc.contributorDepartment of Applied Mathematicsen_US
dc.creatorChow, YLen_US
dc.creatorYu, Xen_US
dc.creatorZhou, Cen_US
dc.date.accessioned2021-03-18T03:04:38Z-
dc.date.available2021-03-18T03:04:38Z-
dc.identifier.issn0022-3239en_US
dc.identifier.urihttp://hdl.handle.net/10397/89353-
dc.language.isoenen_US
dc.publisherSpringeren_US
dc.rights© Springer Science+Business Media, LLC, part of Springer Nature 2020en US
dc.rightsThis 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/s10957-020-01673-2en US
dc.subjectDynamic programming principleen_US
dc.subjectDynamic trading constraintsen_US
dc.subjectIntermediate expectation constraintsen_US
dc.subjectMeasurable selectionen_US
dc.titleOn dynamic programming principle for stochastic control under expectation constraintsen_US
dc.typeJournal/Magazine Articleen_US
dc.identifier.spage803en_US
dc.identifier.epage818en_US
dc.identifier.volume185en_US
dc.identifier.issue3en_US
dc.identifier.doi10.1007/s10957-020-01673-2en_US
dcterms.abstractThis 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.en_US
dcterms.accessRightsopen accessen_US
dcterms.bibliographicCitationJournal of optimization theory and applications, June 2020, v. 185, no. 3, p. 803-818en_US
dcterms.isPartOfJournal of optimization theory and applicationsen_US
dcterms.issued2020-06-
dc.identifier.scopus2-s2.0-85084356236-
dc.identifier.eissn1573-2878en_US
dc.description.validate202103 bcvcen_US
dc.description.oaAccepted Manuscripten_US
dc.identifier.FolderNumbera0601-n10-
dc.identifier.SubFormID545-
dc.description.fundingSourceRGCen_US
dc.description.fundingTextHong Kong Early Career Scheme No. 25302116en_US
dc.description.pubStatusPublisheden_US
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