Stochastic Dynamic Programming and Control of Markov Processes

DOI10.1007/978-3-319-61282-9_9zbMath1420.93038OpenAlexW2754320306MaRDI QIDQ4626499

Manuel C. Guerra

Publication date: 28 February 2019

Published in: Novel Methods in Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-61282-9_9

zbMATH Keywords

Markov processstochastic dynamic programmingoptimal stochastic control

Mathematics Subject Classification ID

Stochastic programming (90C15) Dynamic programming (90C39) Optimal stochastic control (93E20) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Actuarial science and mathematical finance (91G99)

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Cites Work

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• Consumption-investment problem with transaction costs for Lévy-driven price processes
• Optimal stochastic control, stochastic target problems, and backward SDE.
• Controlled Markov processes and viscosity solutions
• A Weak Dynamic Programming Principle for Combined Optimal Stopping/Stochastic Control with ${\cal E}^{f}$-expectations
• Dynamic programming principle for stochastic control problems driven by general Lévy noise

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