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Noether theorem in stochastic optimal control problems via contact symmetries

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  • Francesco C. De Vecchi
  • Elisa Mastrogiacomo
  • Mattia Turra
  • Stefania Ugolini

Abstract

We establish a generalization of Noether theorem for stochastic optimal control problems. Exploiting the tools of jet bundles and contact geometry, we prove that from any (contact) symmetry of the Hamilton-Jacobi-Bellman equation associated to an optimal control problem it is possible to build a related local martingale. Moreover, we provide an application of the theoretical results to Merton's optimal portfolio problem, showing that this model admits infinitely many conserved quantities in the form of local martingales.

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  • Francesco C. De Vecchi & Elisa Mastrogiacomo & Mattia Turra & Stefania Ugolini, 2021. "Noether theorem in stochastic optimal control problems via contact symmetries," Papers 2102.03172, arXiv.org.
    • Handle: RePEc:arx:papers:2102.03172
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    References listed on IDEAS

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