We study the applicability of the method of Dynamic Programming (DP) for the solution of a general class of sequential decision problems under uncertainty, that may more commonly be referred to as discrete-time control problems under uncertainty. The uncertainty is due to the fact that the...

We consider a market where the price of the risky asset follows a stochastic volatility model, but can be observed only at discrete random time points. We determine a local risk minimizing hedging strategy, assuming that the information of the agent is restricted to the observations of the price...