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

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Diffusion processes (60J60) Financial applications of other theories (91G80) Ultraparabolic equations, pseudoparabolic equations, etc. (35K70) Hamilton-Jacobi theories (49L99) Existence of optimal solutions to problems involving randomness (49J55)

Related Items

On the pricing of Asian options with geometric average of American type with stochastic interest rate: a stochastic optimal control approach

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options
• Option hedging for small investors under liquidity costs
• A numerical analysis of variational valuation techniques for derivative securities
• Portfolio selection with transactions costs
• Large-scale PDE-constrained optimization
• Liquidity risk and arbitrage pricing theory
• Zur Theorie der stetigen zufälligen Prozesse
• Zufällige Bewegungen. (Zur Theorie der Brownschen Bewegung.)
• Spherical harmonics approach to parabolic partial differential equations
• Primal-dual methods for the computation of trading regions under proportional transaction costs
• On the approximation of infinite dimensional optimal stopping problems with application to mathematical finance
• Ultraparabolic equations and unsteady heat transfer
• Far Field Boundary Conditions for Black--Scholes Equations
• On the Approximation of Optimal Stopping Problems with Application to Financial Mathematics
• The Liquidity Discount
• Optimal Execution in a General One-Sided Limit-Order Book
• MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
• On the Valuation of Asian Options by Variational Methods
• European Option Pricing with Transaction Costs
• Financial Modelling with Jump Processes
• Exact and Approximate Controllability for Distributed Parameter Systems
• Portfolio Selection with Transaction Costs
• Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs