Stochastic optimal control has become a critical framework for addressing decision-making problems under uncertainty, especially in the context of financial market models. By combining probabilistic ...

The advance of the theory of contingent claim pricing has made it possible to model and analyze very complex financial claims. When the value of the firm can be represented as a contingent claim, then ...

The Annals of Applied Probability, Vol. 28, No. 1 (February 2018), pp. 1-34 (34 pages) In this paper, we aim to develop the stochastic control theory of branching diffusion processes where both the ...

Studies mathematical theories and techniques for modeling financial markets. Specific topics include the binomial model, risk neutral pricing, stochastic calculus, connection to partial differential ...

The research project looks to apply the concept of stochastic control theory to address operational execution issues in financial markets using artificial intelligence. Electronic and algorithmic ...