Optimal growth rate tracking in an incomplete market with delays

https://doi.org/10.58571/CNCA.AMCA.2025.062

Resumen: We consider the problem of optimally tracking a given growth rate for investor’s wealth over a finite-horizon in a market with distributed and discrete delays. This represents an example of a stochastic linear quadratic control problem with state-delay, and with additivemultiplicative noise. We derive an explicit closed-form solution to this problem as a statefeedback control law.

¿Cómo citar?

Alasmi, N, & Gashi, B. (2025). Optimal growth rate tracking in an incomplete market with delays. Memorias del Congreso Nacional de Control Automático 2025, pp. 361-366. https://doi.org/10.58571/CNCA.AMCA.2025.062

Palabras clave

Optimal control, stochastic systems, state-delay, optimal tracking.

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