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

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  • Gordan Zitkovic
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    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''.

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    File URL: http://arxiv.org/pdf/1307.5163
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1307.5163.

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    Date of creation: Jul 2013
    Date of revision: Mar 2014
    Handle: RePEc:arx:papers:1307.5163

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    1. Nutz, Marcel & van Handel, Ramon, 2013. "Constructing sublinear expectations on path space," Stochastic Processes and their Applications, Elsevier, vol. 123(8), pages 3100-3121.
    2. Marcel Nutz, 2010. "Random G-expectations," Papers 1009.2168, arXiv.org, revised Sep 2013.
    3. (**), Hui Wang & Jaksa Cvitanic & (*), Walter Schachermayer, 2001. "Utility maximization in incomplete markets with random endowment," Finance and Stochastics, Springer, vol. 5(2), pages 259-272.
    4. Bruno Bouchard & Marcel Nutz, 2011. "Weak Dynamic Programming for Generalized State Constraints," Papers 1105.0745, arXiv.org, revised Oct 2012.
    5. Marcel Nutz & Ramon van Handel, 2012. "Constructing Sublinear Expectations on Path Space," Papers 1205.2415, arXiv.org, revised Apr 2013.
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