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Academic Journal

The Obstacle Version of the Geometric Dynamic Programming Principle: Application to the Pricing of American Options Under Constraints: The obstacle version of the geometric dynamic programming principle: application to the pricing of American options under constraints

Authors : Bouchard, Bruno; Vu, Than Nam;

Subjects: Stochastic target; AMS 2001: 49L25; Discontinuous viscosity solutions

Source: Applied Mathematics and Optimization. 61:235-265

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Academic Journal

Dynamic programming principle and computable prices in financial market models with transaction costs.

Authors : Lépinette, Emmanuel; Vu, Duc Thinh;

Subjects: Lower semicontinuity; Hedging costs; European options

Source: ISSN: 0022-247X.

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Report

Dynamic programming principle and computable prices in financial market models with transaction costs.

Authors : Lépinette, Emmanuel; Vu, Duc;

Subjects: Hedging costs; European options; Dynamic programming principle

Source: https://hal.archives-ouvertes.fr/hal-03284655 ; 2021.

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Academic Journal

Can a Weaker Player Win? Adaptive Play in Repeated Games

Authors : ANSELMI, Jonatha; Gaujal, Bruno;

Subjects: Sequential decision making; repeated games; dynamic programming

Source: ISSN: 0167-6377.

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Book

Dynamic Programming versus supervised learning

Authors : Pagès, Gilles; Pironneau, Olivier;

Subjects: [MATH.MATH-PR]Mathematics [math]/Probability [math.PR]

Source: Numerical Control: Part A ; https://cnrs.hal.science/hal-03891198 ; Numerical Control: Part A, 23, Elsevier, pp.467-497, 2022, Handbook of Numerical Analysis, ⟨10.1016/bs.hna.2021.12.014⟩

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Academic Journal

Performance of a Markovian neural network versus dynamic programming on a fishing control problem

Authors : Laurière, Mathieu; Pagès, Gilles; Pironneau, Olivier ...

Subjects: Stochastic optimal control partial differential equations neural networks; Stochastic optimal control; partial differential equations

Source: ISSN: 2095-9672.

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Dynamic programming for the stochastic matching model on general graphs: The case of the 'N-graph'

Authors : Jean, Loïc; Moyal, Pascal;

Subjects: Markov Chains; Queueing Systems; Graphs and Networks

Source: https://hal.science/hal-04434805 ; 2023.

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Academic Journal

Weak Dynamic Programming Principle for Viscosity Solutions

Authors : Bouchard, Bruno; Touzi, Nizar;

Subjects: Optimal control; Dynamic programming; Discontinuous viscosity solutions

Source: ISSN: 0363-0129.

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Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics

Authors : Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên ...

Subjects: randomization method; forward-backward stochastic differential equations AMS 2010 subject classification: 49L20; Controlled McKean-Vlasov stochastic differential equations

Source: https://auf.hal.science/hal-01337515 ; 2016.

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Dynamic programming for optimal control of stochastic McKean-Vlasov dynamics

Authors : Pham, Huyên; Wei, Xiaoli;

Subjects: Stochastic McKean-Vlasov SDEs; dynamic programming principle; Bellman equation

Source: https://hal.science/hal-01302289 ; 2016.

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