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Weak Dynamic Programming for Generalized State Constraints

Citations

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Cited by:

  1. Ludovic Moreau & Johannes Muhle-Karbe & H. Mete Soner, 2014. "Trading with Small Price Impact," Papers 1402.5304, arXiv.org, revised Mar 2015.
  2. Guillermo Alonso Alvarez & Ibrahim Ekren & Liwei Huang, 2026. "Principal-agent problems with adverse selection: A stochastic target problem formulation," Papers 2605.01080, arXiv.org, revised May 2026.
  3. Marcel Nutz & Johannes Wiesel & Long Zhao, 2022. "Limits of Semistatic Trading Strategies," Papers 2204.12251, arXiv.org.
  4. Bruno Bouchard & Lucas Gnecco Heredia & Ludovic Moreau & Kim-Anh Pham, 2026. "Optimal Control with Expectation Constraint in a Smooth Boundary Case," Papers 2607.24114, arXiv.org.
  5. Romuald Elie & Ludovic Moreau & Dylan Possamai, 2017. "On a class of path-dependent singular stochastic control problems," Papers 1701.08861, arXiv.org, revised Feb 2018.
  6. Bruno Bouchard & Ludovic Moreau & Mete H. Soner, 2013. "Hedging under an expected loss constraint with small transaction costs," Papers 1309.4916, arXiv.org, revised Sep 2014.
  7. Dylan Possamai & Xiaolu Tan & Chao Zhou, 2015. "Stochastic control for a class of nonlinear kernels and applications," Papers 1510.08439, arXiv.org, revised Jul 2017.
  8. Bruno Bouchard & Ludovic Moreau & Mete H. Soner, 2016. "Hedging under an expected loss constraint with small transaction costs," Post-Print hal-00863562, HAL.
  9. Christopher W. Miller, 2016. "A Duality Result for Robust Optimization with Expectation Constraints," Papers 1610.01227, arXiv.org.
  10. Marcel Nutz & Johannes Wiesel & Long Zhao, 2023. "Limits of semistatic trading strategies," Mathematical Finance, Wiley Blackwell, vol. 33(1), pages 185-205, January.
  11. Guillermo Alonso Alvarez & Erhan Bayraktar & Ibrahim Ekren & Liwei Huang, 2024. "Sequential optimal contracting in continuous time," Papers 2411.04262, arXiv.org.
  12. Thai Nguyen, 2016. "Optimal investment and consumption with downside risk constraint in jump-diffusion models," Papers 1604.05584, arXiv.org.
  13. Sigrid Kallblad, 2017. "A Dynamic Programming Principle for Distribution-Constrained Optimal Stopping," Papers 1703.08534, arXiv.org.
  14. Bruno Bouchard & Ludovic Moreau & Marcel Nutz, 2012. "Stochastic target games with controlled loss," Papers 1206.6325, arXiv.org, revised Apr 2014.
  15. Gordan Zitkovic, 2013. "Dynamic Programming for controlled Markov families: abstractly and over Martingale Measures," Papers 1307.5163, arXiv.org, revised Mar 2014.
  16. Johannes Muhle-Karbe & Max Reppen & H. Mete Soner, 2016. "A Primer on Portfolio Choice with Small Transaction Costs," Papers 1612.01302, arXiv.org, revised May 2017.
  17. Adrien Nguyen Huu & Nadia Oudjane, 2014. "Hedging Expected Losses on Derivatives in Electricity Futures Markets," Papers 1401.8271, arXiv.org.
  18. H. Mete Soner & Mirjana Vukelja, 2016. "Utility maximization in an illiquid market in continuous time," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 84(2), pages 285-321, October.
  19. Yuk-Loong Chow & Xiang Yu & Chao Zhou, 2020. "On Dynamic Programming Principle for Stochastic Control Under Expectation Constraints," Journal of Optimization Theory and Applications, Springer, vol. 185(3), pages 803-818, June.
  20. Erhan Bayraktar & Christopher W. Miller, 2019. "Distribution‐constrained optimal stopping," Mathematical Finance, Wiley Blackwell, vol. 29(1), pages 368-406, January.
  21. Mourad Lazgham, 2018. "Regularity properties in a state-constrained expected utility maximization problem," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 88(2), pages 185-240, October.
  22. Bayraktar, Erhan & Yao, Song, 2024. "Stochastic control/stopping problem with expectation constraints," Stochastic Processes and their Applications, Elsevier, vol. 176(C).
  23. Giorgio Fabbri & Fausto Gozzi & Andrzej Swiech, 2017. "Stochastic Optimal Control in Infinite Dimensions - Dynamic Programming and HJB Equations," Post-Print hal-01505767, HAL.
  24. Mourad Lazgham, 2015. "Regularity properties in a state-constrained expected utility maximization problem," Papers 1510.03079, arXiv.org.
  25. Guillermo Alonso Alvarez & Ibrahim Ekren & Liwei Huang, 2025. "Contracting with discretionary bonuses," Papers 2511.23424, arXiv.org.
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