Applications of Stochastic Optimal Control to Economics and Finance

doi:10.3390/books978-3-03936-059-8

2020

DOI: 10.3390/books978-3-03936-059-8

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Applications of Stochastic Optimal Control to Economics and Finance

Abstract: He holds a PhD in mathematics for economic-financial applications from the University of Rome "La Sapienza". His main research interests are the theory and application of singular stochastic control, optimal stopping, and stochastic games.

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References 127 publications

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Investigating stochastic volatility and jumps in inflation dynamics: an empirical evidence with oil price effect

Bikourne,

Akdim,

Khellaf

et al. 2023

Eur. Phys. J. Plus

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Investigating stochastic volatility and jumps in inflation dynamics: an empirical evidence with oil price effect

Bikourne,

Akdim,

Khellaf

et al. 2023

Eur. Phys. J. Plus

View full text Add to dashboard Cite

Convergence of the θ-Euler-Maruyama method for a class of stochastic Volterra integro-diﬀerential equations

Mouchir,

Slama

2024

J. Numer. Anal. Approx. Theory

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This paper addresses the convergence analysis of the θ-Euler-Maruyama method for a class of stochastic Volterra integro-diﬀerential equations (SVIDEs). At ﬁrst, we discuss the existence, uniqueness, boundedness and H¨older continuity of the theoretical solution. Subsequently, the strong convergence order of the θ-Euler-Maruyama approach for SVIDEs is shown. Finally, we provided numerical examples to illustrate the theoretical results.

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Applications of Stochastic Optimal Control to Economics and Finance

Abstract: He holds a PhD in mathematics for economic-financial applications from the University of Rome "La Sapienza". His main research interests are the theory and application of singular stochastic control, optimal stopping, and stochastic games.

Cited by 2 publications

References 127 publications

Investigating stochastic volatility and jumps in inflation dynamics: an empirical evidence with oil price effect

Investigating stochastic volatility and jumps in inflation dynamics: an empirical evidence with oil price effect

Convergence of the θ-Euler-Maruyama method for a class of stochastic Volterra integro-diﬀerential equations

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