Stochastic control methods for optimization problems in Ornstein-Uhlenbeck spread models

DOI10.1016/j.jmaa.2023.127668zbMath1530.91518MaRDI QIDQ6063623

Serguei Pergamenchtchikov, Sahar Albosaily

Publication date: 8 November 2023

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic controlstochastic differential equationsdynamical programmingFeynman-Kac mappingfinancial spread markets

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Diffusion processes (60J60) Portfolio theory (91G10)

Cites Work

• Optimal consumption and investment with Epstein-Zin recursive utility
• Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients
• Affine processes and applications in finance
• Optimal consumption and investment for markets with random coefficients
• Dynamic pairs trading using the stochastic control approach
• PAIRS TRADING OF TWO ASSETS WITH UNCERTAINTY IN CO-INTEGRATION'S LEVEL OF MEAN REVERSION
• UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS
• A solution approach to valuation with unhedgeable risks
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Stochastic control methods for optimization problems in Ornstein-Uhlenbeck spread models