Dynamic Programming for Controlled Markov Families: Abstractly and over Martingale Measures
type: Item
instance of: scholarly article
title: Dynamic Programming for Controlled Markov Families: Abstractly and over Martingale Measures
zbMATH Open document ID: 1295.93079
DOI: 10.1137/130926481
author: Gordan Žitković
published in: SIAM Journal on Control and Optimization
publication date: 2014-09-26T00:00:00Z
full work available at URL: https://arxiv.org/abs/1307.5163
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 60G44
Mathematics Subject Classification ID: 60J25
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 90C39
zbMATH DE Number: 6348164
zbMATH Keywords: dynamic programming
zbMATH Keywords: financial mathematics
zbMATH Keywords: lower hedging
zbMATH Keywords: Markov processes
zbMATH Keywords: optimal stochastic control
zbMATH Keywords: utility maximization
MaRDI profile type: Publication
OpenAlex ID: W2281763710
arXiv ID: 1307.5163
description: scientific article