Point-to-point stochastic control of a self-financing portfolio.
Mavungu (John) MasialaPublished in: Algorithmic Finance (2022)
Keyphrases
- stochastic control
- optimal control
- queueing systems
- control problems
- brownian motion
- operations management
- supply chain
- decision making
- stochastic process
- reinforcement learning
- arrival rate
- differential equations
- poisson process
- partial differential equations
- diffusion process
- stochastic processes
- control strategy
- computer aided
- cost function