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Etude de deux problèmes de contrôle stochastique : put americain avec dividendes discrets et principe de programmation dynamique avec contraintes en probabilités

Abstract : In this thesis, we address two problems of stochastic optimal control. Each problem constitutes a different Part in this document. The first problem addressed is very precise, it is the valuation of American contingent claims and more specifically the American Put in the presence of discrete dividends (Part I). The second one is more general, since it is the proof of the existence of a dynamic programming principle under expectation constraints in a discrete time framework (Part II). Although the two problems are quite distinct, the dynamic programming principle is at the heart of these two problems. The relationship between the value of an American Put and a free boundary problem has been proved by McKean. The boundary of this problem has a clear economic meaning since it corresponds at all times to the upper limit of the asset price above which the holder of such an option would exercise immediately his right to sell. The shape of the boundary in the presence of discrete dividends has not been solved to the best of our knowledge. Under the assumption that the dividend is a deterministic function of asset prices at the date just before the dividend payment, we investigate how the boundary is modified. In the neighborhood of dividend dates and in the model of Chapter 3, we know what the monotonicity of the border is, and we quantify its local behavior. In Chapter 3, we show that the smooth-fit property is satisfied at any date except for those of the payment of dividends. In both Chapters 3 and 4, we are able to give conditions to guarantee the continuity of the border outside dates of dividend. Part II was originally motivated by the optimal management of the production of an hydro-electric power plant with a probability constraint on the reservoir level on certain dates. Using Balder'sworks on Young's relaxation of optimal control problems, we focus more specifically on their resolution by dynamic programming. In Chapter 5, we extend results of Evstigneev to the framework of Young measures. We show that dynamic programming can be used to solve some problems with conditional expectations constraints. Through the ideas of Bouchard, Elie, Soner and Touzi on stochastic target problems with controlled loss, we show in Chapter 6 that a problem with expectation constraints can be reduced to a problem with conditional expectation constraints. Finally, as a special case, we show that the initial problem of dam management can be solved by dynamic programming
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Submitted on : Monday, June 6, 2016 - 3:52:07 PM
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Maxence Jeunesse. Etude de deux problèmes de contrôle stochastique : put americain avec dividendes discrets et principe de programmation dynamique avec contraintes en probabilités. Mathématiques générales [math.GM]. Université Paris-Est, 2013. Français. ⟨NNT : 2013PEST1012⟩. ⟨tel-01327297⟩



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