Feedback optimal controllers for the Heston model
Publication:2187328
DOI10.1007/s00245-018-9517-6zbMath1440.49042arXiv1703.09944OpenAlexW2600126561WikidataQ129368273 ScholiaQ129368273MaRDI QIDQ2187328
Viorel Barbu, Luca Di Persio, Chiara Benazzoli
Publication date: 2 June 2020
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1703.09944
stochastic controlnonlinear parabolic equationsHamilton-Jacobi equationsfeedback controllerHeston model
Dynamic programming in optimal control and differential games (49L20) Optimal feedback synthesis (49N35) Brownian motion (60J65) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Weak solutions to PDEs (35D30) Second-order parabolic equations (35K10) Hamilton-Jacobi equations (35F21)
Related Items (max. 100)
Cites Work
- Unnamed Item
- Stochastic differential equations with variable structure driven by multiplicative Gaussian noise and sliding mode dynamic
- Backward stochastic differential equations approach to hedging, option pricing, and insurance problems
- The dynamics of stochastic volatility: evidence from underlying and options markets
- Mild solutions to the dynamic programming equation for stochastic optimal control problems
- An investment and consumption problem with CIR interest rate and stochastic volatility
- Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
- Controlled Markov processes and viscosity solutions
- A Theory of the Term Structure of Interest Rates
- On the Heston Model with Stochastic Interest Rates
- Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Stochastic Equations in Infinite Dimensions
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
- Nonlinear Differential Equations of Monotone Types in Banach Spaces
This page was built for publication: Feedback optimal controllers for the Heston model