Asymptotic optimal tracking: feedback strategies

DOI10.1080/17442508.2017.1285304MaRDI QIDQ4584679zbMATH OpenOpenAlexFDO

Authors Jiatu Cai, Mathieu Rosenbaum, Peter Tankov

Publication date 4 September 2018

Published in Stochastics (Search for Journal in Brave)

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

zbMATH Keywords

asymptotic optimalityfeedback strategiestracking problem

Mathematics Subject Classification ID

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

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.

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Cited in

(10)

• Scaling limits of processes with fast nonlinear mean reversion
• A mean-field approach for the asymptotic tracking problem of moving continuum target clouds
• 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
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• 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
• scientific article; zbMATH DE number 440588 (Why is no real title available?)

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