Optimal Financial Benchmark Tracking in a Market with Unbounded Random Coefficients Mashael Algoulity; Bujar Gashi 2023 9th International Conference on Control, Decision and Information Technologies (CoDIT)
We consider the problem of optimally tracking a financial benchmark in a market with random and possibly unbounded coefficients. This is an example of a stochastic linearquadratic control problem with unbounded system and cost functional coefficients. We obtain the unique solution in an explicit closed-form as an affine state-feedback control. The coefficients of the control law are given in terms of two linear backward stochastic differential equations with unbounded coefficients, the solvability of which is also proved.
We consider the problem of optimally tracking a financial benchmark in a market with random and possibly unbounded coefficients. This is an example of a stochastic linearquadratic control problem…
We consider the optimal control problem with an indefinite generalised risk-sensitive criterion, and a class of stochastic control systems with multiplicative noise that have a quadratic type…