On Dynamic Programming Principle for Stochastic Control Under Expectation Constraints

被引：0
作者：
Yuk-Loong Chow
Xiang Yu
Chao Zhou
机构：
[1] Sun Yat-Sen University,School of Mathematics
[2] The Hong Kong Polytechnic University,Department of Applied Mathematics
[3] National University of Singapore,Department of Mathematics
来源：
Journal of Optimization Theory and Applications | 2020年 / 185卷
关键词：
Dynamic programming principle; Measurable selection; Intermediate expectation constraints; Dynamic trading constraints; 93E20; 90C39; 60H30;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
This paper studies the dynamic programming principle using the measurable selection method for stochastic control of continuous processes. The novelty of this work is to incorporate intermediate expectation constraints on the canonical space at each time t. Motivated by some financial applications, we show that several types of dynamic trading constraints can be reformulated into expectation constraints on paths of controlled state processes. Our results can therefore be employed to recover the dynamic programming principle for these optimal investment problems under dynamic constraints, possibly path-dependent, in a non-Markovian framework.
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页码：803 / 818
页数：15
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