A stochastic control model for the average price of manufacturer sales on commodity exchanges

DOI10.1134/S0005117919060080MaRDI QIDQ2290422zbMATH OpenOpenAlexWikidataFDO

Authors K. S. Kuznetsov, Sergey A. Vavilov

Publication date 27 January 2020

Published in Automation and Remote Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s0005117919060080

zbMATH Keywords

commodity exchangesrandom processessales management

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Financial markets (91G15) Optimal stochastic control (93E20)

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• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A Tale of Two Time Scales
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• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• scientific article; zbMATH DE number 194343 (Why is no real title available?)
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Option pricing when underlying stock returns are discontinuous
• Stochastic differential equations. An introduction with applications.

Cited in

(1)

• scientific article; zbMATH DE number 5221510 (Why is no real title available?)

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