Feedback optimal controllers for the Heston model
classification
🧮 math.OC
keywords
feedbackstochasticcontrollerexistencehestonmodeloptimaladded
read the original abstract
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.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.