The dynamic programming equation for a stochastic volatility optimal control problem. (September 2019)
- Record Type:
- Journal Article
- Title:
- The dynamic programming equation for a stochastic volatility optimal control problem. (September 2019)
- Main Title:
- The dynamic programming equation for a stochastic volatility optimal control problem
- Authors:
- Barbu, Viorel
- Abstract:
- Abstract: 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 ) .
- Is Part Of:
- Automatica. Volume 107(2019)
- Journal:
- Automatica
- Issue:
- Volume 107(2019)
- Issue Display:
- Volume 107, Issue 2019 (2019)
- Year:
- 2019
- Volume:
- 107
- Issue:
- 2019
- Issue Sort Value:
- 2019-0107-2019-0000
- Page Start:
- 119
- Page End:
- 124
- Publication Date:
- 2019-09
- Subjects:
- Brownian motions -- Accretive operator -- Optimal feedback controller
Automatic control -- Periodicals
Automation -- Periodicals
629.805 - Journal URLs:
- http://www.sciencedirect.com/science/journal/00051098 ↗
http://www.elsevier.com/journals ↗ - DOI:
- 10.1016/j.automatica.2019.05.046 ↗
- Languages:
- English
- ISSNs:
- 0005-1098
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 1829.450000
British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 11162.xml