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Mathematical Systems Theory in Biology, Communications, Computation, and Finance pp 317–344Cite as

On Stochastic Control in Finance

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Part of the book series: The IMA Volumes in Mathematics and its Applications ((IMA,volume 134))

Abstract

Stochastic control/optimization problems arise in various applications in finance where the control is usually given by an investment strategy. The purpose of this paper is to review some of these applications together with appropriate solution methodologies and also to discuss the latter in comparison with one another.

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Authors and Affiliations

  1. Dipartimento di Matematica Pura ed Applicata, Università di Padova, Via Belzoni 7, 35131, Padova, Italy

    Wolfgang J. Runggaldier

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  1. Wolfgang J. Runggaldier
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Editors and Affiliations

  1. Department of Mathematics, University of Notre Dame, 46556, Notre Dame, IN, USA

    Joachim Rosenthal

  2. Department of Mathematics and Statistics, Texas Tech University, 79409, Lubbock, TX, USA

    David S. Gilliam

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Runggaldier, W.J. (2003). On Stochastic Control in Finance. In: Rosenthal, J., Gilliam, D.S. (eds) Mathematical Systems Theory in Biology, Communications, Computation, and Finance. The IMA Volumes in Mathematics and its Applications, vol 134. Springer, New York, NY. https://doi.org/10.1007/978-0-387-21696-6_12

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  • DOI: https://doi.org/10.1007/978-0-387-21696-6_12

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