SIAM Journal on Control and Optimization, Vol.52, No.3, 1597-1621, 2014
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."
Keywords:dynamic programming;financial mathematics;lower hedging;Markov processes;optimal stochastic control;utility maximization