Stochastic optimal control of ultradiffusion processes with application to dynamic portfolio management

DOI10.1016/J.CAM.2007.10.018zbMATH Open1152.91537OpenAlexW2086387995MaRDI QIDQ952084FDOQ952084

Authors: Michael D. Marcozzi 

Publication date: 6 November 2008

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2007.10.018

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zbMATH Keywords

option pricingstochastic controlHamilton-Jacobi theoryultraparabolicultradiffusion

Mathematics Subject Classification ID

Stochastic systems and control (93E99) Ultraparabolic equations, pseudoparabolic equations, etc. (35K70) Hamilton-Jacobi theories (49L99)

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Cited In (3)

• Optimal control of ultradiffusion processes with application to mathematical finance
• An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options
• Asset liquidity and the valuation of derivative securities

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