A new stochastic model for stock price with delay effects

DOI10.1137/1.9781611975758.17MaRDI QIDQ6567482zbMATH OpenFDO

Authors Tao Pang, Yicong Yong

Publication date 5 July 2024

Full work available at URL https://doi.org/10.1137/1.9781611975758.17

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Portfolio theory (91G10) Optimal stochastic control (93E20)

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(3)

• An application of functional Ito's formula to stochastic portfolio optimization with bounded memory
• Representation of stochastic optimal control problems with delay in the control variable
• Stochastic optimal control problems with delays in the state and in the control via viscosity solutions and applications to optimal advertising and optimal investment problems

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