We consider continuous-time stochastic optimal control problems featuring Conditional Valueat-Risk (CVaR) in the objective. The major difficulty in these problems arises from timeinconsistency, which prevents us from directly using dynamic programming. To resolve this challenge, we convert to an equivalent bilevel optimization problem in which the inner optimization problem is standard stochastic control. Furthermore, we provide conditions under which the outer objective function is convex and differentiable. We compute the outer objective's value via a Hamilton-Jacobi-Bellman equation and its gradient via the viscosity solution of a linear parabolic equation, which allows us to perform gradient descent. The significance of this result is that we provide an efficient dynamic programming-based algorithm for optimal control of CVaR without lifting the state-space. To broaden the applicability of the proposed algorithm, we propose convergent approximation schemes in cases where our key assumptions do not hold and characterize relevant suboptimality bounds. In addition, we extend our method to a more general class of risk metrics, which includes mean-variance and median-deviation. We also demonstrate a concrete application to portfolio optimization under CVaR constraints. Our results contribute an efficient framework for solving time-inconsistent CVaR-based sequential optimization.

We present a novel method for solving a class of time-inconsistent optimal stopping problems by reducing them to a family of standard stochastic optimal control problems. In particular, we convert an optimal stopping problem with a non-linear function of the expected stopping time in the objective into optimization over an auxiliary value function for a standard stochastic control problem with an additional state variable. This approach differs from the previous literature which primarily employs Lagrange multiplier methods or relies on exact solutions. In contrast, we characterize the auxiliary value function as the unique viscosity solution of a non-linear elliptic PDE which satisfies certain growth constraints and investigate basic regularity properties. We demonstrate a connection between optimal stopping times for the original problem and optimal controls of the auxiliary control problem. Finally, we discuss extensions to more general dynamics and time-inconsistencies, as well as potential connections to degenerate Monge-Ampere equations.

We solve the problem of optimal stopping of a Brownian motion subject to the constraint that the stopping time's distribution is a given measure consisting of finitely many atoms. In particular, we show that this problem can be converted to a finite sequence of state-constrained optimal control problems with additional states corresponding to the conditional probability of stopping at each possible terminal time. The proof of this correspondence relies on a new variation of the dynamic programming principle for stateconstrained problems, which avoids measurable selections. We emphasize that distribution constraints lead to novel and interesting mathematical problems on their own, but also demonstrate an application in mathematical finance to model-free superhedging with an outlook on volatility. K E Y W O R D Sdistribution constraints, optimal stopping, optimal control, robust hedging with a volatility outlook, state constraints 368

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Abstract:We introduce a class of finite tight frames called prime tight frames and prove some of their elementary properties. In particular, we show that any finite tight frame can be written as a union of prime tight frames. We then characterize all prime harmonic tight frames and use this characterization to suggest effective analysis and synthesis computation strategies for such frames. Finally, we describe all prime frames constructed from the spectral tetris method, and, as a byproduct, we obtain a characterization of when the spectral tetris construction works for redundancies below two.