On Bellman's equations for mean and variance control of a Markov diffusion

DOI10.1080/17442500902723567MaRDI QIDQ3585322zbMATH OpenOpenAlexFDO

Authors Georgios Aivaliotis, A. Yu. Veretennikov

Publication date 19 August 2010

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442500902723567

zbMATH Keywords

Bellman's equationPDE systemmean and variance controldegenerate Markov diffusion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 3720745 (Why is no real title available?)
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• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Dynamic programming and mean-variance hedging
• Kac's moment formula and the Feynman-Kac formula for additive functionals of a Markov process
• Mean-variance hedging and numéraire
• Mean-variance hedging for general claims
• ON THE SELECTION OF A MARKOV PROCESS FROM A SYSTEM OF PROCESSES AND THE CONSTRUCTION OF QUASI-DIFFUSION PROCESSES
• On polynomial mixing for SDEs with a gradient-type drift
• Parabolic equations and Itô's stochastic equations with coefficients discontinuous in the time variable

Cited in

(5)

• An HJB approach to a general continuous-time mean-variance stochastic control problem
• scientific article; zbMATH DE number 4191494 (Why is no real title available?)
• Investment strategies and compensation of a mean-variance optimizing fund manager
• Parabolic Bellman equations with risk control
• Degenerate Variance Control of a One-Dimensional Diffusion

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