On Dynamic Programming Principle for Stochastic Control Under Expectation Constraints

Yuk Loong Chow, Xiang Yu, Chao Zhou

Research output: Journal article publicationJournal articleAcademic researchpeer-review

2 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)803-818
Number of pages16
JournalJournal of Optimization Theory and Applications
Volume185
Issue number3
DOIs
Publication statusPublished - Jun 2020

Keywords

  • Dynamic programming principle
  • Dynamic trading constraints
  • Intermediate expectation constraints
  • Measurable selection

ASJC Scopus subject areas

  • Control and Optimization
  • Management Science and Operations Research
  • Applied Mathematics

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