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pro vyhledávání: '"singular stochastic control"'
We consider a class of infinite-dimensional singular stochastic control problems. These can be thought of as spatial monotone follower problems and find applications in spatial models of production and climate transition. Let $(D,\mathcal{M},\mu)$ be
Externí odkaz:
http://arxiv.org/abs/2406.07242
Akademický článek
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We consider a singular control problem that aims to maximize the expected cumulative rewards, where the instantaneous returns depend on the state of a controlled process. The contributions of this paper are twofold. Firstly, to establish sufficient c
Externí odkaz:
http://arxiv.org/abs/2308.02095
Autor:
Kruk, Łukasz1 (AUTHOR) lukasz.kruk@mail.umcs.pl
Publikováno v:
Mathematical Methods of Operations Research. Dec2023, Vol. 98 Issue 3, p325-349. 25p.
Autor:
De Angelis, Tiziano1,2 (AUTHOR) tiziano.deangelis@unito.it, Milazzo, Alessandro3 (AUTHOR)
Publikováno v:
Applied Mathematics & Optimization. Aug2023, Vol. 88 Issue 1, p1-48. 48p.
Autor:
Bank, Peter, Besslich, David
Publikováno v:
The Annals of Applied Probability, 2020 Dec 01. 30(6), 2923-2962.
Externí odkaz:
https://www.jstor.org/stable/27136084
We prove the dynamic programming principle (DPP) in a class of problems where an agent controls a $d$-dimensional diffusive dynamics via both classical and singular controls and, moreover, is able to terminate the optimisation at a time of her choosi
Externí odkaz:
http://arxiv.org/abs/2111.09608
We derive the explicit solutions to singular stochastic control problems of the monotone follower type with (a) an expected discounted criterion, (b) an expected ergodic criterion and (c) a pathwise ergodic criterion. These problems have been motivat
Externí odkaz:
http://arxiv.org/abs/2008.05576
A singular stochastic control approach for optimal pairs trading with proportional transaction costs
Autor:
Xing, Haipeng
Optimal trading strategies for pairs trading have been studied by models that try to find either optimal shares of stocks by assuming no transaction costs or optimal timing of trading fixed numbers of shares of stocks with transaction costs. To find
Externí odkaz:
http://arxiv.org/abs/1911.10450
Akademický článek
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