most cited-Nash equilibrium in stochastic differential games with mean-field interaction and controlled jumps

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math.OC2017

Feedback optimal controllers for the Heston model

Viorel Barbu, Chiara Benazzoli, Luca Di Persio

We prove the existence of an optimal feedback controller for a stochastic optimization problem constituted by a variation of the Heston model, where a stochastic input process is a…