# Questions tagged [stochastic-control]

Stochastic control is widely used in finance since it is about decision taking in a random environment. Option replication, portfolio construction, intraday trading are typical applications of stochastic control.

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### References for Stochastic Control for finance

What are some good references to study Stochastic Control with applications to Finance, like the Merton problem and other variants? Books or review papers?
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### Solving option market making problem

I am currently working on a paper for quoting option as a market maker from Bastien Baldacci , Philippe Bergault & Olivier Guéant Without dwelling on details on how to obtain the HJB equation for ...
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### Game theory and stochastic calculus

Does anybody know any details of game theory literature combined with stochastic calculus in finance? If yes, please recommend some papers of any authors who are doing exceptional work on the filed. ...
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### Closed-form solution to optimal single assset position sizing with predicted returns

Say that I observe a predictor $w_t \sim N(0,\sigma_1)$ for the returns in a single asset over the next time interval: $$r_t = \alpha w_{t-1} + z_t$$ where $z_t \sim N(0,\sigma_2)$ is unobserved ...
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### Portfolio insurance strategy with path dependence

I have the following problem. Let us assume that $S_t$, the stock price follows, geometric Brownian moation with parameters $(\mu,\sigma^2)$. We are given an amount of money $M$ and at each point in ...
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### Lipschitz condition in mathematical finance

I am interested in a rigorous explanation on why the Lipschitz condition plays a major part in stochastic calculus, most significantly in mathematical finance. To be specific, suppose we want to ...
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### Is there any theoretical work to find an optimum size for the size of horizon in finite-horizon optimization or control?

we learn a lot about finite and infinite horizon control in dynamic programming. but I was wondering if we want to minimize the cost per time(discrete time) is there any work to find the optimum size ...
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