Feedback optimal controllers for the Heston model

DOI10.1007/s00245-018-9517-6zbMath1440.49042arXiv1703.09944OpenAlexW2600126561WikidataQ129368273 ScholiaQ129368273MaRDI QIDQ2187328

Viorel Barbu, Luca Di Persio, Chiara Benazzoli

Publication date: 2 June 2020

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

Full work available at URL: https://arxiv.org/abs/1703.09944

zbMATH Keywords

stochastic controlnonlinear parabolic equationsHamilton-Jacobi equationsfeedback controllerHeston model

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal feedback synthesis (49N35) Brownian motion (60J65) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Weak solutions to PDEs (35D30) Second-order parabolic equations (35K10) Hamilton-Jacobi equations (35F21)

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