Dynamic Programming for Controlled Markov Families: Abstractly and over Martingale Measures
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, …