Title
Optimization of Market Stochastic Dynamics
Author ORCID Identifier
Paramahansa Pramanik:https://orcid.org/0000-0002-7070-5538
Publication Title
Operations Research Forum
E-ISSN
26622556
Document Type
Article
Abstract
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.
Publication Date
12-1-2020
DOI
10.1007/s43069-020-00028-x
Keywords
Feynman-type path integral, Stochastic control
Recommended Citation
Pramanik, Paramahansa, "Optimization of Market Stochastic Dynamics" (2020). NIU Bibliography. 297.
https://huskiecommons.lib.niu.edu/niubib/297
Department
Department of Mathematical Sciences
