Optimization of Market Stochastic Dynamics
Author ORCID Identifier
Operations Research Forum
A Feynman-type path integral has been introduced to find an optimal strategy where a dynamic profit is maximized subject to a stochastic dynamics of a firm’s market share. This method is useful under a more generalized non-linear system such as the Merton-Garman-Hamiltonian process where constructing a Hamiltonian-Jacobi-Bellman equation is very difficult. The path integral method also gives an optimal strategy without going through a value function and gives a different optimal strategy. The result obtained by a Feynman-type method is compared with that by the traditional Pontryagin’s maximum principle.
Feynman-type path integral, Stochastic control
Pramanik, Paramahansa, "Optimization of Market Stochastic Dynamics" (2020). NIU Bibliography. 297.
Department of Mathematical Sciences