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arxiv: 1703.09944 · v2 · pith:BTFQHF6Gnew · submitted 2017-03-29 · 🧮 math.OC

Feedback optimal controllers for the Heston model

classification 🧮 math.OC
keywords feedbackstochasticcontrollerexistencehestonmodeloptimaladded
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We prove the existence of an optimal feedback controller for a stochastic optimization problem constituted by a variation of the Heston model, where a stochastic input process is added in order to minimize a given performance criterion. The stochastic feedback controller is searched by solving a nonlinear backward parabolic equation for which one proves the existence of a martingale solution.

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