We prove the existence of an optimal feedback controller for a stochastic optimization problem constituted by a variation of the Heston model, where a stochastic input process is added in order to minimize a given performance criterion. The stochastic feedback controller is searched by solving a nonlinear backward parabolic equation for which one proves the existence of a martingale solution.
@article{arxiv.1703.09944,
title = {Feedback optimal controllers for the Heston model},
author = {Viorel Barbu and Chiara Benazzoli and Luca Di Persio},
journal= {arXiv preprint arXiv:1703.09944},
year = {2018}
}