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On Dynamic Programming Principle for Stochastic Control Under Expectation Constraints · Study

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ArticleOn Dynamic Programming Principle for Stochastic Control Under Expectation Constraints

Yuk-Loong Chow2020

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Articlegreen2020

On Dynamic Programming Principle for Stochastic Control Under Expectation Constraints

Yuk-Loong Chow · Xiang Mei Yu · Chao Zhou

20 citations·0/0 files stored·Journal of Optimization Theory and Applications

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Stochastic processes and financial applications Optimization and Variational Analysis Risk and Portfolio Optimization

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References

1993OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS 2000Efficient hedging: Cost versus shortfall risk 1999Quantile hedging 2011Wellposedness of second order backward SDEs 1986Optimal Control with State-Space Constraint. II 2011Weak Dynamic Programming Principle for Viscosity Solutions 2002Dynamic programming for stochastic target problems and geometric flows 2013Constructing sublinear expectations on path space

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2021Optimal Tracking Portfolio with a Ratcheting Capital Benchmark

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Year2020

Typearticle

Published2020-05-10

VenueJournal of Optimization Theory and Applications

ISSN-L0022-3239

Languageen

Citations20

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s10957-020-01673-2

openalex_workW3023146282

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