On dynamic programming principle for stochastic control under expectation constraints
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Publication:2188945
DOI10.1007/s10957-020-01673-2zbMath1447.93374arXiv1802.03954OpenAlexW3023146282MaRDI QIDQ2188945
Publication date: 15 June 2020
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1802.03954
measurable selectiondynamic programming principledynamic trading constraintsintermediate expectation constraints
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