Optimal control of ultradiffusion processes with application to mathematical finance
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Publication:4983283
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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