On stochastic optimal control for stock price volatility

DOI10.1108/03684920210443978MaRDI QIDQ4457586zbMATH OpenOpenAlexFDO

Authors Yirong Ying, Jeffrey Forrest, Chong Feng Wu

Publication date 25 March 2004

Published in Kybernetes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1108/03684920210443978

zbMATH Keywords

riskstochastic modellingcybernetics

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic games, stochastic differential games (91A15) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cites work

• Continuous-time approaches to system identification - a survey
• Efficient hedging: cost versus shortfall risk
• On dynamic measure of risk
• Stochastic linear quadratic optimal control problems

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(8)

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• Optimal feedback control of stock prices under credit risk dynamics
• An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
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• Stochastic control of optimized certainty equivalents

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