Hamilton-Jacobi-Bellman Equation Invariant Measure Mean-Reverting Process Optimal Stochastic Control Stochastic Volatility
Issue Date:
2011
Publisher:
Institute of Mathematics and Informatics Bulgarian Academy of Sciences
Citation:
Serdica Mathematical Journal, Vol. 37, No 3, (2011), 237p-250p
Abstract:
In this work we will study a problem of optimal investment in financial markets with stochastic volatility with small parameter. We used the averaging method of Bogoliubov for limited development for the optimal strategies when the small parameter of the model tends to zero and the limit for the optimal strategy and demonstrated the convergence of these optimal strategies.
