Optimal position targeting via decoupling fields
Ankirchner , Stefan
Fromm , Alexander
Kruse , Thomas
Popier , Alexandre
- Publisher: HAL CCSD
[ MATH.MATH-PR ] Mathematics [math]/Probability [math.PR] | decoupling field | [ QFIN.PM ] Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM] | [ MATH.MATH-OC ] Mathematics [math]/Optimization and Control [math.OC] | calculus of variations | Optimal stochastic control | forward backward stochastic differential equation
We consider a variant of the basic problem of the calculus of variations, where the Lagrangian is convex and subject to randomness adapted to a Brownian filtration. We solve the problem by reducing it, via a limiting argument, to an unconstrained control problem that co...