Optimal control design for a class of quantum stochastic systems with financial applications

DOI10.1016/J.PHYSA.2018.08.141OpenAlexW2887909508WikidataQ129393174 ScholiaQ129393174MaRDI QIDQ2151779

M. Yarahmadi, S. Yaghobipour

Publication date: 5 July 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2018.08.141

zbMATH Keywords

portfolio optimizationquantum Brownian motionquantum stochastic differential equationquantum probability space

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Statistical mechanics, structure of matter (82-XX)

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Cites Work

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• Backward Stochastic Differential Equations in Finance
• A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
• Mayer problem for quantum stochastic control
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