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The dynamic programming equation for a stochastic volatility optimal control problem
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DOI：10.1016/j.automatica.2019.05.046.png)
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Abstract
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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). (C) 2019 Elsevier Ltd. All rights reserved.
Keywords:
Brownian motions
Accretive operator
Optimal feedback controller
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