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Optimization of Market Stochastic Dynamics

Paramahansa Pramanik ()
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Paramahansa Pramanik: Northern Illinois University

SN Operations Research Forum, 2020, vol. 1, issue 4, 1-17

Abstract: Abstract A Feynman-type path integral has been introduced to find an optimal strategy where a dynamic profit is maximized subject to a stochastic dynamics of a firm’s market share. This method is useful under a more generalized non-linear system such as the Merton-Garman-Hamiltonian process where constructing a Hamiltonian-Jacobi-Bellman equation is very difficult. The path integral method also gives an optimal strategy without going through a value function and gives a different optimal strategy. The result obtained by a Feynman-type method is compared with that by the traditional Pontryagin’s maximum principle.

Keywords: Stochastic control; Feynman-type path integral (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1007/s43069-020-00028-x

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