Feedback optimal controllers for the Heston model

DOI10.1007/S00245-018-9517-6zbMATH Open1440.49042arXiv1703.09944OpenAlexW2600126561WikidataQ129368273 ScholiaQ129368273MaRDI QIDQ2187328FDOQ2187328

Authors: Viorel Barbu, Chiara Benazzoli, Luca Di Persio 

Publication date: 2 June 2020

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Abstract: We prove the existence of an optimal feedback controller for a stochastic optimization problem constituted by a variation of the Heston model, where a stochastic input process is added in order to minimize a given performance criterion. The stochastic feedback controller is searched by solving a nonlinear backward parabolic equation for which one proves the existence of a martingale solution.

Full work available at URL: https://arxiv.org/abs/1703.09944

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zbMATH Keywords

Hamilton-Jacobi equationsstochastic controlfeedback controllernonlinear parabolic equationsHeston model

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Brownian motion (60J65) Weak solutions to PDEs (35D30) Hamilton-Jacobi equations (35F21) Second-order parabolic equations (35K10) Dynamic programming in optimal control and differential games (49L20) Optimal feedback synthesis (49N35)

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Cited In (3)

• Optimal control for stochastic differential equations and related Kolmogorov equations
• Optimal feedback control of stock prices under credit risk dynamics
• Optimal control of stochastic differential equations via Fokker-Planck equations

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