Nonparametric statistical inference for stochastic optimal control problems and its applications for financial investment

Yang Liu, Yanzi Liang, Xinchen Lan and Zheng Lu

Finance Research Letters, 2024, vol. 64, issue C

Abstract: Against a backdrop of financial decision-making, this study examines nonparametric statistical inference problems in stochastic optimal control problems. First, we construct a nonparametric estimation model using the wavelet estimation method for drift and diffusion coefficients. In this study, we focus on stochastic linear–quadratic (SLQ) problems, solved using Riccati equations, and apply this to a cash management problem within the linear–quadratic framework. The results show the effectiveness of the wavelet method using a numerical case.

Keywords: Nonparametric statistical inference; Wavelet estimation; Stochastic linear–quadratic problem; Riccati equation (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612324003970
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324003970

DOI: 10.1016/j.frl.2024.105367

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().