Solving quantum stochastic LQR optimal control problem in Fock space and its application in finance

DOI10.1016/j.camwa.2019.12.016zbMath1447.91195OpenAlexW2996913755WikidataQ126444844 ScholiaQ126444844MaRDI QIDQ2192469

S. Yaghobipour, M. Yarahmadi

Publication date: 17 August 2020

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2019.12.016

zbMATH Keywords

HJB equationoperator-valued stochastic processportfolio selection quantum stochastic LQR

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Linear-quadratic optimal control problems (49N10) Financial applications of other theories (91G80) Quantum stochastic calculus (81S25) Numerical solutions to stochastic differential and integral equations (65C30) Portfolio theory (91G10)

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