Abstract:
We consider a generalization of processes with disorder, namely processes with a vector disorder. For these problems, we consider a class of optimal control problems that do not detect the disorder. We propose a computational method for solving control problems on a finite time interval and with an objective functional defined at the end of the interval, based on the use of the martingale technique. We consider a computational experiment for a model with two barriers and two stopping times.
Keywords:processes with disorder, vector disorder, martingale, martingale measure, Wiener process, quantile hedging.