On stochastic optimal control for stock price volatility

DOI10.1108/03684920210443978zbMATH Open1062.91043OpenAlexW1997884465MaRDI QIDQ4457586FDOQ4457586

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

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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)

Cites Work

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

Cited In (8)

• A stochastic model on stock market controlling strategy
• Title not available (Why is that?)
• Optimal feedback control of stock prices under credit risk dynamics
• Portfolio risk management under incomplete information: a stochastic control method
• Title not available (Why is that?)
• Volatility uncertainty quantification in a stochastic control problem applied to energy
• Stochastic control of optimized certainty equivalents
• An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior

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