A Computational Method for Stochastic Optimal Control Problems in Financial Mathematics

DOI10.1002/asjc.1242zbMath1346.93399OpenAlexW2256334799MaRDI QIDQ2821285

Seyed Mehdi Karbassi, B. Kafash, Ali Delavarkhalafi

Publication date: 19 September 2016

Published in: Asian Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asjc.1242

zbMATH Keywords

Hamilton-Jacobi-Bellman equationvariational iteration methodBanach's fixed-point theoremstochastic optimal control problemMerton's portfolio selection model

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Synthesis problems (93B50) Applications of operator theory in systems, signals, circuits, and control theory (47N70) Portfolio theory (91G10)

Related Items (3)

Filtering method for linear and non-linear stochastic optimal control of partially observable systems II ⋮ Nash equilibrium approximation of some class of stochastic differential games: a combined Chebyshev spectral collocation method with policy iteration ⋮ On optimal stochastic jumps in multi server queue with impatient customers via stochastic control

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