Asymptotic optimal tracking: feedback strategies

DOI10.1080/17442508.2017.1285304zbMATH Open1397.93080arXiv1603.09472OpenAlexW2963332746MaRDI QIDQ4584679FDOQ4584679

Peter Tankov, Mathieu Rosenbaum, Jiatu Cai

Publication date: 4 September 2018

Published in: Stochastics (Search for Journal in Brave)

Abstract: This is a companion paper to (Cai, Rosenbaum and Tankov, Asymptotic lower bounds for optimal tracking: a linear programming approach, arXiv:1510.04295). We consider a class of strategies of feedback form for the problem of tracking and study their performance under the asymptotic framework of the above reference. The strategies depend only on the current state of the system and keep the deviation from the target inside a time-varying domain. Although the dynamics of the target is non-Markovian, it turns out that such strategies are asympototically optimal for a large list of examples.

Full work available at URL: https://arxiv.org/abs/1603.09472

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zbMATH Keywords

asymptotic optimalityfeedback strategiestracking problem

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Feedback control (93B52) Asymptotic stability in control theory (93D20)

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Cited In (9)

• Scaling limits of processes with fast nonlinear mean reversion
• Asymptotic lower bounds for optimal tracking: a linear programming approach
• Sequential tracking of an unobservable two-state Markov process under Brownian noise
• Trading with small nonlinear price impact
• Stability of Radner equilibria with respect to small frictions
• SDEs with two reflecting barriers driven by semimartingales and processes with bounded \(p\)-variation
• SDEs with two reflecting barriers driven by optional processes with regulated trajectories
• Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case
• Title not available (Why is that?)

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