Optimal Control of Stochastic Functional Differential Equations with Application to Finance

This work is devoted to the study of optimal control of stochastic functional differential equations (SFDEs) and its application to mathematical finance. By using the Dynkin formula and solution of the Dirichlet-Poisson problem, the Hamilton-Jacobi-Bellman (HJB) equation and the converse HJB equatio...

Ausführliche Beschreibung

Gespeichert in:

Bibliographische Detailangaben
Hauptverfasser:	Coayla-Teran, Edson A, Swishchuk, Anatoly
Format:	Artikel
Sprache:	eng
Schlagworte:	Mathematics - Optimization and Control
Online-Zugang:	Volltext bestellen
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!

Beschreibung
Zusammenfassung:	This work is devoted to the study of optimal control of stochastic functional differential equations (SFDEs) and its application to mathematical finance. By using the Dynkin formula and solution of the Dirichlet-Poisson problem, the Hamilton-Jacobi-Bellman (HJB) equation and the converse HJB equation are derived. Furthermore, applications are given to an optimal portfolio selection problem.
DOI:	10.48550/arxiv.1404.1063