A Note on Applications of Stochastic Ordering to Control Problems in Insurance and Finance

Nicole Bauerle, Erhan Bayraktar

We consider a controlled diffusion process $(X_t{)}_{t\ge 0}$ where the controller is allowed to choose the drift ${\mu }_t$ and the volatility ${\sigma }_t$ from a set $\K(x) \subset \R\times (0…