Title: Feedback optimal controllers for the Heston model,
Abstract: We prove the existence of an optimal feedback controller for a stochastic
optimization problem constituted by a variation of the Heston model, where a
stochastic input process is added in order to minimize a given performance
criterion. The stochastic feedback controller is searched by solving a
nonlinear backward parabolic equation for which one proves the existence of a
martingale solution.