Optimal Control of Stochastic Functional Differential Equations with Application to Finance
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Publication:6250436
arXiv1404.1063MaRDI QIDQ6250436FDOQ6250436
Edson A. Coayla-Teran, Anatoliy Swishchuk
Publication date: 3 April 2014
Abstract: This work is devoted to the study of optimal control of stochastic functional differential equations (SFDEs) and its application to mathematical finance. By using the Dynkin formula and solution of the Dirichlet-Poisson problem, the Hamilton-Jacobi-Bellman (HJB) equation and the converse HJB equation are derived. Furthermore, applications are given to an optimal portfolio selection problem.
Stochastic functional-differential equations (34K50) Stochastic models in economics (91B70) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
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