Optimal control of ultradiffusion processes with application to mathematical finance

DOI10.1080/00207160.2014.890714zbMath1311.49045OpenAlexW2094631638MaRDI QIDQ4983283

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

zbMATH Keywords

optimal controlstochastic differential equationHamilton-Jacobi equationtransaction costslimit ordersasset liquidityultradiffusion process

Mathematics Subject Classification ID

Related Items (1)

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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