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Stochastic Control Methods in Asset Pricing

Thaleia Zariphopoulou

Open publisher page 20 citations

Abstract

We remark that the above version of the Verification Theorem is somehow incomplete in the sense that one needs to specify rigorously the correct probability system that would support the (optimal) control policies. We choose not to be very specific at this point since these technical issues are beyond the interests of the audience; rather, we refer to the discussion by Fleming and Soner (1993, Chapter IV).

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What this paper is about

We remark that the above version of the Verification Theorem is somehow incomplete in the sense that one needs to specify rigorously the correct probability system that would support the (optimal) control policies. We choose not to be very specific at this point since these technical issues are beyond the interests of the audience; rather, we refer to the discussion by Fleming and Soner (1993, Chapter IV).

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OpenAlex reports 20 citations for this work. Citation counts describe recorded attention and do not establish research quality.

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Available abstract

We remark that the above version of the Verification Theorem is somehow incomplete in the sense that one needs to specify rigorously the correct probability system that would support the (optimal) control policies. We choose not to be very specific at this point since these technical issues are beyond the interests of the audience; rather, we refer to the discussion by Fleming and Soner (1993, Chapter IV).

Key concepts: Stochastic investment model, Asset (computer security), Control (management), Capital asset pricing model, Stochastic control, Economics, Financial economics, Computer science

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