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arXiv · 1703.09944

Feedback optimal controllers for the Heston model

Viorel Barbu·Chiara Benazzoli·Luca Di Persio
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Abstract

We prove the existence of an optimal feedback controller for a stochastic optimization problem constituted by a variation of the Heston model, where a stochastic input process is added in order to minimize a given performance criterion. The stochastic feedback controller is searched by solving a nonlinear backward parabolic equation for which one proves the existence of a martingale solution.

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Viorel Barbu, Chiara Benazzoli, Luca Di Persio. 2017-03-29. Feedback optimal controllers for the Heston model. https://arxiv.org/abs/1703.09944

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