Dynamic Programming for controlled Markov families: abstractly and over Martingale Measures
We describe an abstract control-theoretic framework in which the validity of the dynamic programming principle can be established in continuous time by a verification of a small number of structural properties. As an application we treat several cases of interest, most notably the lower-hedging and utility-maximization problems of financial mathematics both of which are naturally posed over ``sets of martingale measures''.
Year of publication: |
2013-07
|
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Authors: | Zitkovic, Gordan |
Institutions: | arXiv.org |
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