Malliavin method for optimal investment in financial markets with memory

DOI10.1515/MATH-2016-0027zbMath1347.60081OpenAlexW2405583460MaRDI QIDQ317870

Qiguang An, Gaofeng Zong, Guo-Qing Zhao

Publication date: 4 October 2016

Published in: Open Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/math-2016-0027

zbMATH Keywords

memory effectsMalliavin derivativeoptimal investmentfinancial marketmean-field backward stochastic Volterra equationsmean-field stochastic maximum principle

Mathematics Subject Classification ID

Nonlinear initial, boundary and initial-boundary value problems for linear parabolic equations (35K60) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Stochastic calculus of variations and the Malliavin calculus (60H07) Optimality conditions for problems involving randomness (49K45) Stochastic integral equations (60H20)

Related Items (2)

Improved \(\vartheta\)-methods for stochastic Volterra integral equations ⋮ Optimal control of mean-field jump-diffusion systems with noisy memory

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