Singular Stochastic Control in Option Hedging with Transaction Costs

Stochastic Modeling and Control ◽

10.5772/46154 ◽

2012 ◽

Author(s):

Tze Leung ◽

Tiong Wee

Keyword(s):

Transaction Costs ◽

Stochastic Control ◽

Singular Stochastic Control ◽

Option Hedging

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Singular stochastic control in optimal investment and hedging in the presence of transaction costs

Institute of Mathematical Statistics Lecture Notes - Monograph Series - Probability, statistics and their applications: papers in honor of Rabi Bhattacharya ◽

10.1214/lnms/1215091666 ◽

2003 ◽

pp. 209-227

Author(s):

Tze Leung Lai ◽

Tiong Wee Lim

Keyword(s):

Transaction Costs ◽

Stochastic Control ◽

Optimal Investment ◽

Singular Stochastic Control

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The Relation Between Generalized and Singular Stochastic Control Problems 1

IFAC Proceedings Volumes ◽

10.1016/s1474-6670(17)35329-6 ◽

2001 ◽

Vol 34 (6) ◽

pp. 1095-1099

Author(s):

Dufour Francois ◽

Miller Boris

Keyword(s):

Stochastic Control ◽

Control Problems ◽

Singular Stochastic Control ◽

Stochastic Control Problems

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Connections between optimal stopping and singular stochastic control

Stochastic Processes and their Applications ◽

10.1016/s0304-4149(98)00049-0 ◽

1998 ◽

Vol 77 (2) ◽

pp. 253-281 ◽

Cited By ~ 37

Author(s):

Frederik Boetius ◽

Michael Kohlmann

Keyword(s):

Stochastic Control ◽

Optimal Stopping ◽

Singular Stochastic Control

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A Numerical Method for Solving Singular Stochastic Control Problems

Operations Research ◽

10.1287/opre.1030.0107 ◽

2004 ◽

Vol 52 (4) ◽

pp. 563-582 ◽

Cited By ~ 33

Author(s):

Sunil Kumar ◽

Kumar Muthuraman

Keyword(s):

Numerical Method ◽

Stochastic Control ◽

Control Problems ◽

Singular Stochastic Control ◽

Stochastic Control Problems

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Bounded Variation Singular Stochastic Control and Dynkin Game

SIAM Journal on Control and Optimization ◽

10.1137/s0363012903429049 ◽

2005 ◽

Vol 44 (4) ◽

pp. 1289-1321 ◽

Cited By ~ 18

Author(s):

Frederik Boetius

Keyword(s):

Stochastic Control ◽

Bounded Variation ◽

Singular Stochastic Control ◽

Dynkin Game

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Regularity of the Value Function for a Two-Dimensional Singular Stochastic Control Problem

SIAM Journal on Control and Optimization ◽

10.1137/0327047 ◽

1989 ◽

Vol 27 (4) ◽

pp. 876-907 ◽

Cited By ~ 66

Author(s):

H. Mete Soner ◽

Shreve E. Shreve

Keyword(s):

Control Problem ◽

Stochastic Control ◽

Value Function ◽

Two Dimensional ◽

Singular Stochastic Control ◽

Stochastic Control Problem ◽

The Value Function

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On the Principle of Smooth Fit for a Class of Singular Stochastic Control Problems for Diffusions

SIAM Journal on Control and Optimization ◽

10.1137/0330053 ◽

1992 ◽

Vol 30 (4) ◽

pp. 975-999 ◽

Cited By ~ 26

Author(s):

Jin Ma

Keyword(s):

Stochastic Control ◽

Control Problems ◽

Singular Stochastic Control ◽

Stochastic Control Problems

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A Pair of Explicitly Solvable Singular Stochastic Control Problems

Applied Mathematics & Optimization ◽

10.1007/s002459900094 ◽

1998 ◽

Vol 38 (3) ◽

pp. 327-352 ◽

Cited By ~ 16

Author(s):

M. H. A. Davis

Keyword(s):

Stochastic Control ◽

Control Problems ◽

Singular Stochastic Control ◽

Stochastic Control Problems

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Expected Supremum Representation of the Value of a Singular Stochastic Control Problem

SIAM Journal on Control and Optimization ◽

10.1137/15m1034957 ◽

2017 ◽

Vol 55 (6) ◽

pp. 3908-3927 ◽

Cited By ~ 1

Author(s):

Luis H. R. Alvarez ◽

Pekka Matomäki

Keyword(s):

Control Problem ◽

Stochastic Control ◽

Singular Stochastic Control ◽

Stochastic Control Problem

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Some Analytic Aspects of the Linear-Programming Approach to the Numerical Solution of Singular Stochastic Control Problems

IMA Journal of Mathematical Control and Information ◽

10.1093/imamci/6.1.21 ◽

1989 ◽

Vol 6 (1) ◽

pp. 21-26

Author(s):

MIN SUN

Keyword(s):

Linear Programming ◽

Numerical Solution ◽

Stochastic Control ◽

Programming Approach ◽

Control Problems ◽

Singular Stochastic Control ◽

Stochastic Control Problems ◽

Linear Programming Approach

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