Optimal investment and consumption for pairs trading financial markets on small time interval
, 2018 In this paper we consider a pairs trading financial market with the spread of risky assets defined by the Ornstein-Uhlenbeck (OU) process. We implement an optimal strategy for power utility functions for investment/consumption problem.
Albosaily, Sahar +1 more
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Classical Solutions of The Hamilton-Jacobi-Bellman Equation for Uniformly Elliptic Operators [PDF]
, 1983 L. C. Evans
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Markov Perfect Nash Equilibrium in stochastic differential games as solution of a generalized Euler Equations System [PDF]
This paper gives a new method to characterize Markov Perfect Nash Equilibrium in stochastic differential games by means of a set of Generalized Euler Equations.
Juan Pablo Rincón-Zapatero +1 more
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Viscosity Solution of Bellman-Isaacs Equation Arising in Non-linear Uncertain Object Control
, 2016 В. Н. Афанасьев
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Comparison Principle for Hamilton-Jacobi-Bellman Equations via a Bootstrapping Procedure [PDF]
, 2021 Richard C. Kraaij, Mikola C. Schlottke
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'Ito's Lemma' and the Bellman Equation for Poisson Processes: An Applied View
, 2006 Ken Sennewald, Klaus Wälde
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A review from the PDE viewpoint of Hamilton-Jacobi-Bellman Equations Arising in Optimal Control with Vectorial Cost [PDF]
, 2014 Nikos Katzourakis, Tristan Pryer
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Finite element approximation of Hamilton–Jacobi–Bellman equations with nonlinear mixed boundary conditions [PDF]
, 2023 Bartosz Jaroszkowski, Max Jensen
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Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations
, 2015 Shanjian Tang, Zhang Fu
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Dynamic programming principle for one kind of stochastic recursive optimal control problem and Hamilton-Jacobi-Bellman equations [PDF]
, 2007 Zhen Wu, Zhiyong Yu
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