Optimal position targeting via decoupling fields

Preprint English OPEN
Ankirchner , Stefan; Fromm , Alexander; Kruse , Thomas; Popier , Alexandre; (2018)
  • Publisher: HAL CCSD
  • Subject: [ MATH.MATH-PR ] Mathematics [math]/Probability [math.PR] | decoupling field | [ QFIN.PM ] Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM] | calculus of variations | [ MATH.MATH-OC ] Mathematics [math]/Optimization and Control [math.OC] | 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... View more
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