On stochastic optimal control for stock price volatility

DOI10.1108/03684920210443978zbMATH Open1062.91043OpenAlexW1997884465MaRDI QIDQ4457586FDOQ4457586

Chong Feng Wu, Yirong Ying, Jeffrey Forrest

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)

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 (2)

• 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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