A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
The paper develops methods to price options under rough volatility models using BSPDEs.
We study a constrained optimal control problem with possibly degenerate coefficients arising in models of optimal portfolio liquidation under market impact. The coefficients can be random in which case the value function is described by a degenerate backward stochastic partial differential equation (BSPDE) with singula…
The paper studies complex equations for financial optimal control problems.
Investor optimizes utility in a market with endogenous pricing.
We study an optimal control problem related to swing option pricing in a general non-Markovian setting in continuous time. As a main result we show that the value process solves a first-order non-linear backward stochastic partial differential equation. Based on this result we can characterize the set of optimal contro…
We study utility maximization problem for general utility functions using dynamic programming approach. We consider an incomplete financial market model, where the dynamics of asset prices are described by an -valued continuous semimartingale. Under some regularity assumptions we derive backward stochastic partial…
In Bender and Dokuchaev (2013), we studied a control problem related to swing option pricing in a general non-Markovian setting. The main result there shows that the value process of this control problem can be uniquely characterized in terms of a first order backward SPDE and a pathwise differential inclusion. In the …