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20122026
most citedA stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance

14 citations · 44 across the 33 of their papers we have counts for

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Showing 2017 · math.OCShow all

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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…