Controlled measure-valued martingales: a viscosity solution approach

DOI10.1214/23-aap2012zbMATH Open1542.93412MaRDI QIDQ6590450

Martin Larsson, Alexander Matthew Gordon Cox, Sigrid Källblad, Sara Svaluto-Ferro

Publication date: 21 August 2024

Published in: The Annals of Applied Probability (Search for Journal in Brave)

zbMATH Keywords

stochastic optimal controlviscosity solutionsItô's formulameasure-valued martingales

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Random measures (60G57) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Martingales and classical analysis (60G46)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Skorokhod embeddings via stochastic flows on the space of Gaussian measures
• Polynomial diffusions and applications in finance
• Games with incomplete information in continuous time and for continuous types
• Superreplication under volatility uncertainty for measurable claims
• Random times and enlargements of filtrations in a Brownian setting.
• A double obstacle problem arising in differential game theory
• The Skorokhod embedding problem and its offspring
• Robust hedging of the lookback option
• Hamilton-Jacobi-Bellman equations for the optimal control of the Duncan-Mortensen-Zakai equation
• A two-player zero-sum game where only one player observes a Brownian motion
• Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach
• Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem
• A dynamic programming approach to distribution-constrained optimal stopping
• Viscosity solutions to parabolic master equations and McKean-Vlasov SDEs with closed-loop controls
• Optimal transport and Skorokhod embedding
• Stochastic differential games with asymmetric information
• Mean-field stochastic differential equations and associated PDEs
• Constructing sublinear expectations on path space
• On Dynkin Games with Incomplete Information
• Stochastic Optimal Control in Infinite Dimension
• The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices
• The stochastic Fubini theorem revisited
• On a Continuous-Time Game with Incomplete Information
• Bellman equation and viscosity solutions for mean-field stochastic control problem
• Dynamic Programming for Controlled Markov Families: Abstractly and over Martingale Measures
• Viscosity Solutions for Controlled McKean--Vlasov Jump-Diffusions
• Existence of an Optimal Markovian Filter for the Control under Partial Observations
• User’s guide to viscosity solutions of second order partial differential equations
• Model-Independent Bounds for Asian Options: A Dynamic Programming Approach
• Martingale Optimal Transport with Stopping
• Probabilistic Theory of Mean Field Games with Applications II
• Stochastic Control Theory
• The Existence of Certain Stopping Times on Brownian Motion
• Skorohod embedding of multivariate RV's, and the sample DF
• Dynamic Programming Equation for the Mean Field Optimal Stopping Problem

Related Items (2)

Measure-valued affine and polynomial diffusions ⋮ Mean viability theorems and second-order Hamilton-Jacobi equations

This page was built for publication: Controlled measure-valued martingales: a viscosity solution approach