A numerical method for solving stochastic linear quadratic problem with a finance application

DOI10.22124/JMM.2022.20887.1826MaRDI QIDQ6097286zbMATH OpenFDO

Authors Sohrab Effati, Fard Omid Solaymani

Publication date 12 June 2023

Full work available at URL https://doi.org/10.22124/JMM.2022.20887.1826

zbMATH Keywords

approximationcontrolfinancial marketoptimalquadraticRiccati equationstochastic

Mathematics Subject Classification ID

Numerical analysis (65-XX)

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Cited in

(1)

• Chebyshev wavelet-based method for solving various stochastic optimal control problems and its application in finance

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