Distribution‐constrained optimal stopping

DOI10.1111/mafi.12171zbMath1411.91540arXiv1604.03042OpenAlexW2962894788MaRDI QIDQ5743126

Christopher W. Miller, Erhan Bayraktar

Publication date: 8 May 2019

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.03042

zbMATH Keywords

optimal controlstate constraintsoptimal stoppingdistribution constraintsrobust hedging with a volatility outlook

Mathematics Subject Classification ID

Dynamic programming (90C39) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

A dynamic programming approach to distribution-constrained optimal stopping, Moment-constrained optimal dividends: precommitment and consistent planning, Optimal Control of Conditional Value-at-Risk in Continuous Time, On dynamic programming principle for stochastic control under expectation constraints, Optimal stopping with expectation constraints, Martingale Optimal Transport with Stopping, Nonlinear PDE Approach to Time-Inconsistent Optimal Stopping, Stochastic optimal transport with free end time, Stopping with expectation constraints: 3 points suffice

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimal mean-variance selling strategies
• A model-free no-arbitrage price bound for variance options
• Optimal stochastic control, stochastic target problems, and backward SDE.
• On the inverse first-passage-time problem for a Wiener process
• Wide stencil finite difference schemes for the elliptic Monge-Ampère equation and functions of the eigenvalues of the Hessian
• Continuous-time stochastic control and optimization with financial applications
• Geometry of distribution-constrained optimal stopping problems
• A verification theorem for optimal stopping problems with expectation constraints
• A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
• Stochastic Perron's method for optimal control problems with state constraints
• A Weak Dynamic Programming Principle for Zero-Sum Stochastic Differential Games with Unbounded Controls
• Nonlinear PDE Approach to Time-Inconsistent Optimal Stopping
• Weak Dynamic Programming Principle for Viscosity Solutions
• Convergent Finite Difference Solvers for Viscosity Solutions of the Elliptic Monge–Ampère Equation in Dimensions Two and Higher
• The convex envelope is the solution of a nonlinear obstacle problem
• Model-Independent Bounds for Asian Options: A Dynamic Programming Approach
• Weak Dynamic Programming for Generalized State Constraints
• Stochastic Perron's Method for Hamilton--Jacobi--Bellman Equations
• Optimal Stopping Rules
• On the inverse of the first passage time probability problem