Controlling the occupation time of an exponential martingale

DOI10.1007/S00245-016-9356-2zbMath1378.93142OpenAlexW2337780367WikidataQ115608623 ScholiaQ115608623MaRDI QIDQ1678509

Christophette Blanchet-Scalliet, Stefan Ankirchner, Monique Jeanblanc-Picqué

Publication date: 17 November 2017

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

Full work available at URL: https://doi.org/10.1007/s00245-016-9356-2

zbMATH Keywords

bang-bang controloccupation timeexponential martingalemaximal volatilityminimal volatility

Mathematics Subject Classification ID

Brownian motion (60J65) Generalizations of martingales (60G48) Optimal stochastic control (93E20) Existence of optimal solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49J30) Existence of optimal solutions to problems involving randomness (49J55)

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Cites Work

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• Mathematical methods for financial markets.
• On the pathwise uniqueness of solutions of one-dimensional stochastic differential equations
• Optimal Control of the Diffusion Coefficient of a Simple Diffusion Process
• Oscillating Brownian motion

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