The dynamic programming equation for a stochastic volatility optimal control problem

被引：0
|
作者：
Barbu, Viorel [1 ]
机构：
[1] Romanian Acad, Octav Mayer Inst Math, Iasi, Romania
来源：
AUTOMATICA | 2019年 / 107卷
关键词：
Brownian motions; Accretive operator; Optimal feedback controller;
D O I：
10.1016/j.automatica.2019.05.046
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
In this note, one constructs a distributional solution to the d-dimensional dynamic programming equation, d >= 3, for an optimal control problem governed by a stochastic volatility model. The approach is based on nonlinear semigroup theory in the space L-1(R-d). (C) 2019 Elsevier Ltd. All rights reserved.
引用
收藏
页码：119 / 124
页数：6
相关论文
共 50 条
12345