Model-free Hedging: A Martingale Optimal Transport Viewpoint focuses on the computation
of model-independent bounds for exotic options consistent with market prices of liquid …

We study a class of Markovian optimal stochastic control problems in which the controlled
process Z^ν is constrained to satisfy an almost sure constraint Z^ν(T)∈G⊂R^d+1 P-as at …

We analyze a problem of optimal control of the Fokker-Planck equation with state constraints
in the Wasserstein space of probability measures. We give first-order necessary conditions …

In this article we approach a class of stochastic reachability problems with state constraints
from an optimal control perspective. Preceding approaches to solving these reachability …

We consider an illiquid financial market where a risk averse investor has to liquidate a
portfolio within a finite time horizon [0, T] and can trade continuously at a traditional …

We provide a dynamic programming principle for stochastic optimal control problems with
expectation constraints. A weak formulation, using test functions and a probabilistic …

In this paper, we investigate possible approaches to study general time-inconsistent
optimization problems without assuming the existence of optimal strategy. This leads …

We consider an optimal stochastic target problem for branching diffusion processes. This
problem consists in finding the minimal condition for which a control allows the underlying …

This paper provides an introduction to optimal investment rules in electricity generation. It
attempts to bring together methods commonly used in practice to assess electricity …

We study a stochastic control/stopping problem with a series of inequality-type and equality-
type expectation constraints in a general non-Markovian framework. We demonstrate that …