Optimal control of ultradiffusion processes with application to mathematical finance
DOI10.1080/00207160.2014.890714zbMATH Open1311.49045OpenAlexW2094631638MaRDI QIDQ4983283FDOQ4983283
Authors: Michael D. Marcozzi 
Publication date: 25 March 2015
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2014.890714
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stochastic differential equationoptimal controltransaction costsHamilton-Jacobi equationlimit ordersasset liquidityultradiffusion process
Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ultraparabolic equations, pseudoparabolic equations, etc. (35K70) Existence of optimal solutions to problems involving randomness (49J55) Hamilton-Jacobi theories (49L99) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
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Cited In (3)
- Stochastic optimal control of ultradiffusion processes with application to dynamic portfolio management
- Extrapolation discontinuous Galerkin method for ultraparabolic equations
- On the pricing of Asian options with geometric average of American type with stochastic interest rate: a stochastic optimal control approach
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