On stochastic optimal control for stock price volatility

DOI10.1108/03684920210443978zbMath1062.91043OpenAlexW1997884465MaRDI QIDQ4457586

Chongfeng Wu, Yirong Ying, Jeffrey Forrest

Publication date: 25 March 2004

Published in: Kybernetes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1108/03684920210443978

zbMATH Keywords

riskstochastic modellingcybernetics

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Stochastic games, stochastic differential games (91A15)

Cites Work

• Continuous-time approaches to system identification - a survey
• Efficient hedging: cost versus shortfall risk
• On dynamic measure of risk
• Stochastic linear quadratic optimal control problems

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