Publication:
Dynamic programming for stochastic target problems and geometric flows

dc.contributor.coauthorTouzi, Nizar
dc.contributor.departmentDepartment of Mathematics
dc.contributor.kuauthorSoner, Halil Mete
dc.contributor.schoolcollegeinstituteCollege of Sciences
dc.date.accessioned2024-11-09T23:38:56Z
dc.date.issued2002
dc.description.abstractGiven 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.
dc.description.indexedbyWOS
dc.description.indexedbyScopus
dc.description.issue3
dc.description.openaccessYES
dc.description.sponsoredbyTubitakEuN/A
dc.description.volume4
dc.identifier.doi10.1007/s100970100039
dc.identifier.issn1435-9855
dc.identifier.scopus2-s2.0-33845799781
dc.identifier.urihttps://doi.org/10.1007/s100970100039
dc.identifier.urihttps://hdl.handle.net/20.500.14288/13030
dc.identifier.wos178248200001
dc.keywordsPartial-differantial equations
dc.keywordsMean-curvature
dc.keywordsViscosity solutions
dc.keywordsPlane- Curves
dc.language.isoeng
dc.publisherSpringer-Verlag Berlin
dc.relation.ispartofJournal Of The European Mathematical Society
dc.subjectMathematics
dc.titleDynamic programming for stochastic target problems and geometric flows
dc.typeJournal Article
dspace.entity.typePublication
local.contributor.kuauthorSoner, Halil Mete
local.publication.orgunit1College of Sciences
local.publication.orgunit2Department of Mathematics
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relation.isOrgUnitOfPublication.latestForDiscovery2159b841-6c2d-4f54-b1d4-b6ba86edfdbe
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