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Of course, optimal control is at the core of math finance. Take few applications: Option Pricing: you have an exposure to a time dependent combination of market factors; you have some knowledge of their dynamics. They are partly deterministic, partly stochastic (i.e. random). At each "time step" you can adjust your portfolio at a given cost.
19 Dec 2016 ... In the financial engineering field, many problems can be formulated as stochastic control problems. A unique feature of the stochastic control ...
This book focuses on the interaction between equilibrium real exchange rates, optimal external debt, endogenous optimal growth, and current account balances in a world of uncertainty. The theoretical parts result from interdisciplinary research between economics and state of the art applied mathematics. From the economic theory and the mathematics of stochastic optimal control, benchmarks are I have co-authored a book, with Wendell Fleming, on viscosity solutions and stochastic control; Controlled Markov Processes and Viscosity Solutions, Springer-Verlag, 1993 (second edition in 2006), and authored or co-authored several articles on nonlinear partial differential equations, viscosity solutions, stochastic optimal control and mathematical finance.
An Introduction to Stochastic Control, with Applications to Mathematical Finance Bernt ˜ksendal Department of Mathematics, University of Oslo, Norway and Norwegian School of Economics (NHH),Bergen, Norway Stochastic Processes and Applications, Ulan Bator, Mongolia, 29-31 July 2015 These lectures are partially based on joint works with Of course, optimal control is at the core of math finance. Take few applications: Option Pricing: you have an exposure to a time dependent combination of market factors; you have some knowledge of their dynamics. They are partly deterministic, partly stochastic (i.e. random). At each "time step" you can adjust your portfolio at a given cost.
In a continuous time approach in a finance context, the state variable in ... Robert Merton used stochastic control to study optimal ... The theory of stochastic processes deals with random functions of time as e.g. asset prices, interest rates, or trading strategies. As is true for Mathematical Finance ...