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Dynamic programming for stochastic target problems and geometric flows

Dynamic programming for stochastic target problems and geometric flows Given a controlled stochastic process, the reachability set is the collection of all initial data from which the state process can be driven into a target set at a specified time. Differential properties of these sets are studied by the dynamic programming principle which is proved by the Jankov-von Neumann measurable selection theorem. This principle implies that the reachability sets satisfy a geometric partial differential equation, which is the analogue of the Hamilton-Jacobi-Bellman equation for this problem. By appropriately choosing the controlled process, this connection provides a stochastic representation for mean curvature type geometric flows. Another application is the super-replication problem in financial mathematics. Several applications in this direction are also discussed. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of the European Mathematical Society Springer Journals

Dynamic programming for stochastic target problems and geometric flows

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Publisher
Springer Journals
Copyright
Copyright © 2001 by Springer-Verlag Berlin Heidelberg & EMS
Subject
Mathematics; Mathematics, general
ISSN
1435-9855
DOI
10.1007/s100970100039
Publisher site
See Article on Publisher Site

Abstract

Given a controlled stochastic process, the reachability set is the collection of all initial data from which the state process can be driven into a target set at a specified time. Differential properties of these sets are studied by the dynamic programming principle which is proved by the Jankov-von Neumann measurable selection theorem. This principle implies that the reachability sets satisfy a geometric partial differential equation, which is the analogue of the Hamilton-Jacobi-Bellman equation for this problem. By appropriately choosing the controlled process, this connection provides a stochastic representation for mean curvature type geometric flows. Another application is the super-replication problem in financial mathematics. Several applications in this direction are also discussed.

Journal

Journal of the European Mathematical Society – Springer Journals

Published: Sep 1, 2002

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