Dynamic Programming for Controlled Markov Families: Abstractly and over Martingale Measures

DOI10.1137/130926481zbMath1295.93079arXiv1307.5163OpenAlexW2281763710MaRDI QIDQ3192135

Gordan Žitković

Publication date: 26 September 2014

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1307.5163

zbMATH Keywords

dynamic programmingMarkov processesutility maximizationfinancial mathematicsoptimal stochastic controllower hedging

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Dynamic programming (90C39) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80)

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