Stochastic control methods for optimization problems in Ornstein-Uhlenbeck spread models
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Publication:6063623
DOI10.1016/j.jmaa.2023.127668zbMath1530.91518MaRDI QIDQ6063623
Serguei Pergamenchtchikov, Sahar Albosaily
Publication date: 8 November 2023
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Hamilton-Jacobi-Bellman equation; stochastic control; stochastic differential equations; dynamical programming; Feynman-Kac mapping; financial spread markets
49L20: Dynamic programming in optimal control and differential games
93E20: Optimal stochastic control
60J60: Diffusion processes
91G10: Portfolio theory
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