Stochastic control
Stochastic control for a class of nonlinear kernels and applications
... of stochastic control, since it is constructed to be filtration (or time) consistent, that is to say that its conditional version sat- isfies a tower property similar to that of linear expectations, which ...
48
Compactification method for a stochastic control problem on a junction
... a stochastic control problem on a junction, in finite time ...a stochastic control problem with control at the junction ...the stochastic case in [5], however it is not often ...
39
Federated stochastic control of numerous heterogeneous energy storage systems
... a control problem to model a cooperative setting where Thermostatically Controlled Loads distributed among a large population of agents are used to balance power production and consumption in a con- text of strong ...
33
BSDE formulation of combined regular and singular stochastic control problems
... gradient constraint. On the other hand, it has been shown that PDEs with gradient constraints are related to BSDEs with Z-constraints; see, e.g. [8, 25]. In this paper we directly show that a wide variety of combined ...
11
Mixed generalized Dynkin game and stochastic control in a Markovian framework
... July 21, 2016 Abstract We introduce a mixed generalized Dynkin game/stochastic control with E f -expectation in a Markovian framework. We study both the case when the terminal reward function is Bore- lian ...
29
Modelization and valuation methods of gas contracts: Stochastic control approaches
... At each date before the expiration of the contract, the storage holder observes the market gas spot price and then determines the optimal strategy between three possible actions: inject, withdraw or do nothing. The ...
227
Stochastic control, default risk and liquidity risk
... Abstract : This PhD dissertation consists of three independent parts and deals with ap- plications of stochastic control to finance. In the first part, we study the utility maximization problem in a market ...
171
Some contributions to stochastic control and backward stochastic differential equations in finance.
... a stochastic control approach to solve BSDEs with convex constraints on the gain process and obtain an inter- esting stochastic representation ...a stochastic representation theorem for the ...
162
Asymptotic methods in stochastic control and applications in finance
... resulting stochastic control problems often become ...associated stochastic control problems, providing explicit and fea- sible optimal ...related stochastic control methods, and ...
225
Backward stochastic differential equations and stochastic control and applications to mathematical finance
... using stochastic control and dynamic programming methods in the global filtration G generated by W and ...backward stochastic differential equations (BSDEs) with jumps ; the derivation relies on a ...
197
Newton method for stochastic control problems
... solve stochastic optimal control is the Pontryagin principle, which gives rise to a Forward- Backward Stochastic Differential Equation, see ...for stochastic control problems, using an ...
40
A contribution in stochastic control applied to finance and insurance
... the stochastic target problem introduced in [ BET09 ...controlled stochastic target with a given level of expected ...standard stochastic target problem, by increasing both the state space and the ...
179
Application of stochastic control to portfolio selection with transaction costs
... L’archive ouverte pluridisciplinaire HAL, est destinée au dépôt et à la diffusion de documents scientifiques de niveau recherche, publiés ou non, émanant des établissements d’enseignemen[r] ...
46
Adaptive stochastic control of linear systems with random parameters
... We have shown that for the linear dynamic systems with fixed structure feedback controller, there exists a threshold determined by the means and covariances of the[r] ...
231
A class of adaptive control problems solved via stochastic control
... Note that (2.2) is locally Lipshitz; however, we will need global Lipschitz conditions.. and the lemma is proved. E In view of the lemma above, it is enough to build e-optimal [r] ...
12
On some stochastic control problems with state constraints
... optimal control problems set in a deterministic framework, whereas second order equations arise in the stochastic ...optimal control problems for controlled diffusion processes as the unique ...
156
Dynamic programming for optimal control of stochastic McKean-Vlasov dynamics
... original control problem into a stochastic control problem where the conditional law P W 0 X t is the sole controlled state variable driven by the random noise W 0 , and by showing the continuity of ...
34
Linear-quadratic stochastic delayed control and deep learning resolution
... Abstract We consider a class of stochastic control problems with a delayed control, both in drift and diffusion, of the type dX t = α t−d (bdt + σdW t ). We provide a new char- acterization of the ...
38
Optimal Control versus Stochastic Target problems: An Equivalence Result
... (non-standard) stochastic control problems as a part of the general well-known tool box in optimal ...that stochastic target problems and optimal control problems in standard form ...
8
Interior penalty approximation for optimal control problems. Optimality conditions in stochastic optimal control theory.
... Nevertheless, to the best of our knowledge, nothing has been said about second order optimality conditions. Using the variational technique we are able to obtain rst and second order expansions for the cost function, ...
143