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Volume 32, Issue 5-6
1 July 2003
Kybernetes Cover Image for Volume 32, Issue 5-6
Conceptual Paper| July 01 2003

On stochastic optimal control for stock price volatility

;
Ying Yi‐rong
Aetna Management School, Shanghai Jiao Tong University, Shanghai, People's Republic of China
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Lin Yi
Mathematics Department, Slippery Rock University, Vincent Science Hall, USA
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Wu Chong‐feng
Aetna Management School, Shanghai Jiao Tong University, Shanghai, People's Republic of China
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Author & Article Information
Publisher: Emerald Publishing
Online ISSN: 1758-7883
Print ISSN: 0368-492X
© MCB UP Limited
2003
Kybernetes (2003) 32 (5-6): 898–904.
https://doi.org/10.1108/03684920210443978

The dynamic measure of risk problem in a incomplete market is discussed when stock appreciation rates are uncertain. Meanwhile, a related stochastic game problem is studied. The value of a stochastic optimal control is regarded as a reasonable measure of the risk. The form of the optimal objective is obtained by employing the tools of BSDE theory.

Keywords: Cybernetics, Risk, Stochastic modelling
© MCB UP Limited
2003
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