Stochastic optimal control in infinite dimension

G Fabbri, F Gozzi, A Swiech - Probability and Stochastic Modelling …, 2017 - Springer
The main objective of this book is to give an overview of the theory of Hamilton–Jacobi–
Bellman (HJB) partial differential equations (PDEs) in infinite-dimensional Hilbert spaces …

A primer on portfolio choice with small transaction costs

J Muhle-Karbe, M Reppen… - Annual Review of …, 2017 - annualreviews.org
This review is an introduction to asymptotic methods for portfolio choice problems with small
transaction costs. We outline how to derive the corresponding dynamic programming …

Stochastic control for a class of nonlinear kernels and applications

D Possamaï, X Tan, C Zhou - The Annals of Probability, 2018 - JSTOR
We consider a stochastic control problem for a class of nonlinear kernels. More precisely,
our problem of interest consists in the optimization, over a set of possibly nondominated …

Trading with small price impact

L Moreau, J Muhle‐Karbe, HM Soner - Mathematical Finance, 2017 - Wiley Online Library
An investor trades a safe and several risky assets with linear price impact to maximize
expected utility from terminal wealth. In the limit for small impact costs, we explicitly …

Optimal contracting under mean-volatility joint ambiguity uncertainties

J Sung - Economic Theory, 2022 - Springer
We examine a continuous-time principal-agent problem under mean-volatility joint ambiguity
uncertainties. Both the principal and the agent exhibit Gilboa–Schmeidler's extreme …

Duality and approximation of stochastic optimal control problems under expectation constraints

L Pfeiffer, X Tan, YL Zhou - SIAM Journal on Control and Optimization, 2021 - SIAM
We consider a continuous time stochastic optimal control problem under both equality and
inequality constraints on the expectation of some functionals of the controlled process …

Stochastic control/stopping problem with expectation constraints

E Bayraktar, S Yao - Stochastic Processes and their Applications, 2024 - Elsevier
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 …

On dynamic programming principle for stochastic control under expectation constraints

YL Chow, X Yu, C Zhou - Journal of Optimization Theory and Applications, 2020 - Springer
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 …

Limits of semistatic trading strategies

M Nutz, J Wiesel, L Zhao - Mathematical Finance, 2023 - Wiley Online Library
We show that pointwise limits of semistatic trading strategies in discrete time are again
semistatic strategies. The analysis is carried out in full generality for a two‐period model …

Distribution‐constrained optimal stopping

E Bayraktar, CW Miller - Mathematical Finance, 2019 - Wiley Online Library
We solve the problem of optimal stopping of a Brownian motion subject to the constraint that
the stopping time's distribution is a given measure consisting of finitely many atoms. In …