Grant: Discovery Grants Program - Individual

Many complex dynamic systems ared modeled successfully by stochastic differential equations and this is particulary the case for stock markets. In a financial market, an investor might seek to establish a dynamic strategy allowing him to optimize a certain function of the expected terminal wealth. With this in mind, he must base his decisions on a continuously updated flow of information without being able to exactly predict future market fluctuations. We propose to continue our previous work on these issues by developing strategies with realistic constraints, either imposed by the investor or enforced by the market, as well as investigating the probability of attaining predetermined financial goals.