Stochastic control methods for optimization problems in Ornstein-Uhlenbeck spread models (Q6063623)
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scientific article; zbMATH DE number 7762428
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic control methods for optimization problems in Ornstein-Uhlenbeck spread models |
scientific article; zbMATH DE number 7762428 |
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Stochastic control methods for optimization problems in Ornstein-Uhlenbeck spread models (English)
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8 November 2023
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stochastic control
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stochastic differential equations
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dynamical programming
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Hamilton-Jacobi-Bellman equation
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Feynman-Kac mapping
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financial spread markets
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