Malliavin method for optimal investment in financial markets with memory
Qiguang An ; Guoqing Zhao ; Gaofeng Zong
Open Mathematics, Tome 14 (2016), p. 286-299 / Harvested from The Polish Digital Mathematics Library

We consider a financial market with memory effects in which wealth processes are driven by mean-field stochastic Volterra equations. In this financial market, the classical dynamic programming method can not be used to study the optimal investment problem, because the solution of mean-field stochastic Volterra equation is not a Markov process. In this paper, a new method through Malliavin calculus introduced in [1], can be used to obtain the optimal investment in a Volterra type financial market. We show a sufficient and necessary condition for the optimal investment in this financial market with memory by mean-field stochastic maximum principle.

Publié le : 2016-01-01
EUDML-ID : urn:eudml:doc:277080
@article{bwmeta1.element.doi-10_1515_math-2016-0027,
     author = {Qiguang An and Guoqing Zhao and Gaofeng Zong},
     title = {Malliavin method for optimal investment in financial markets with memory},
     journal = {Open Mathematics},
     volume = {14},
     year = {2016},
     pages = {286-299},
     zbl = {1347.60081},
     language = {en},
     url = {http://dml.mathdoc.fr/item/bwmeta1.element.doi-10_1515_math-2016-0027}
}
Qiguang An; Guoqing Zhao; Gaofeng Zong. Malliavin method for optimal investment in financial markets with memory. Open Mathematics, Tome 14 (2016) pp. 286-299. http://gdmltest.u-ga.fr/item/bwmeta1.element.doi-10_1515_math-2016-0027/