pith. sign in

arxiv: 1307.5163 · v2 · pith:GIR6ZAFXnew · submitted 2013-07-19 · 🧮 math.OC · q-fin.PM

Dynamic Programming for controlled Markov families: abstractly and over Martingale Measures

classification 🧮 math.OC q-fin.PM
keywords dynamicmartingalemeasuresprogrammingabstractabstractlyapplicationcases
0
0 comments X
read the original abstract

We describe an abstract control-theoretic framework in which the validity of the dynamic programming principle can be established in continuous time by a verification of a small number of structural properties. As an application we treat several cases of interest, most notably the lower-hedging and utility-maximization problems of financial mathematics both of which are naturally posed over ``sets of martingale measures''.

This paper has not been read by Pith yet.

discussion (0)

Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.