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Showing 1 to 7 of 7 for “"optimal stochastic control"”.
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ΜΙΑ ΠΙΘΑΝΟΘΕΩΡΗΤΙΚΗ ΠΡΟΣΕΓΓΙΣΗ ΤΗΣ ΕΞΙΣΩΣΗΣ MONGE-AMPERE
… CAN BE DIVIDED AS FOLLOWS: A) POSSIBILITY OF STOCHASTIC REPRESENTATION OF THE GENERALISED SOLUTION OF THE REAL MONGE-AMPERE EQUATION MU=F>0 K D, K=Φ ON ΘD, D C IRD OPEN-BOUNDED CONVEX. PARTLY IN PARALLEL TO THE WORK BY B. GAVEAN, WHO TREATED THE COMPLEX CASE, GENERAL RESULTS ARE OBTAINED. …
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Analysis and control of marine cable systems
… characteristics of the model. By applying modern control theory, a novel heave compensation mechanism is developed for marine systems of cables and subsea units. This mechanism involves an actively controlled winch system. A framework of optimal stochastic control is outlined for integrating all …
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Dynamic hedging in illiquid financial markets
… Mathematically, this amounts to study various stochastic optimal control problems with suitable nonlinear dynamics. We introduce a price impact model which accounts for finite market depth, market tightness and finite resilience whose coupled bid- and ask-price dynamics induce convex liquidity …
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On A Multi-Dimensional Singular Stochastic Control Problem: The Parabolic Case
<p>This dissertation considers a stochastic dynamic system which is governed by a multidimensional diffusion process with time dependent coefficients. The control acts additively on the state of the system. The objective is to minimize the expected cumulative cost associated with the position of …
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Kalman filtering techniques applied to the dynamic ship positioning problem
… the low-frequency motions of the vessel so that control can be applied. An optimal feedback control system simulation based on optimal stochastic control theory is used. The optimal control performance criterion weighting matrices Q, R were pre-selected and the optimal feedback gain matrix was …
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Stochastic singular control: existence, characterization and approximation of solutions in cost minimization problems and games
Stochastic singular control models (such as optimization problems, games and mean field games) refer to a class of problems in which some agents want to optimize a certain performance criterion by acting in a random environment which evolves in continuous time, and in which the effect of the …
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Selección óptima de portafolio para una compañía aseguradora
En este documento se estudia el problema en tiempo continuo de selección óptima de portafolio para una compañía aseguradora que respalda las reclamaciones con los beneficios de las venta de contratos de seguros y los ingresos resultantes de invertir en el mercado financiero. Usando el método de …