Mean-variance hedging and stochastic control: beyond the Brownian setting.
Olga BobrovnytskaMartin SchweizerPublished in: IEEE Trans. Autom. Control. (2004)
Keyphrases
- stochastic control
- optimal control
- brownian motion
- control problems
- dynamic programming
- differential equations
- queueing systems
- heavy traffic
- diffusion process
- vector valued
- operations management
- reinforcement learning
- control strategy
- long run
- stochastic process
- learning algorithm
- stochastic processes
- utility function
- special case
- financial markets
- arrival rate
- infinite horizon
- poisson process
- multiscale
- machine learning