Asymptotic optimal tracking: feedback strategies

DOI10.1080/17442508.2017.1285304zbMath1397.93080arXiv1603.09472OpenAlexW2963332746MaRDI QIDQ4584679

Peter Tankov, Mathieu Rosenbaum, Jiatu Cai

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 optimalitytracking problemfeedback strategies

Mathematics Subject Classification ID

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

Related Items (6)

SDEs with two reflecting barriers driven by semimartingales and processes with bounded \(p\)-variation ⋮ Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case ⋮ Trading with small nonlinear price impact ⋮ Stability of Radner equilibria with respect to small frictions ⋮ Scaling limits of processes with fast nonlinear mean reversion ⋮ Sequential tracking of an unobservable two-state Markov process under Brownian noise

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• Stochastic differential equations with time-dependent reflecting barriers
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