On the uniqueness of optimal controls
Masatoshi Fujisaki (1979)
Séminaire de probabilités de Strasbourg
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Displaying similar documents to “Integration of the optimal risk in a stopping problem with absorption”
On the uniqueness of optimal controls
Maximum process problems in optimal control theory.
Peskir, Goran (2005)
Journal of Applied Mathematics and Stochastic Analysis
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Separation principle in the fractional Gaussian linear-quadratic regulator problem with partial observation
Marina L. Kleptsyna, Alain Le Breton, Michel Viot (2008)
ESAIM: Probability and Statistics
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In this paper we solve the basic fractional analogue of the classical linear-quadratic Gaussian regulator problem in continuous-time with partial observation. For a controlled linear system where both the state and observation processes are driven by fractional Brownian motions, we describe explicitly the optimal control policy which minimizes a quadratic performance criterion. Actually, we show that a separation principle holds, , the optimal control separates into two stages based...
On variant reflected backward SDEs, with applications.
Ma, Jin, Wang, Yusun (2009)
Journal of Applied Mathematics and Stochastic Analysis
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On the infinite time horizon linear-quadratic regulator problem under a fractional brownian perturbation
Marina L. Kleptsyna, Alain Le Breton, Michel Viot (2005)
ESAIM: Probability and Statistics
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In this paper we solve the basic fractional analogue of the classical infinite time horizon linear-quadratic gaussian regulator problem. For a completely observable controlled linear system driven by a fractional brownian motion, we describe explicitely the optimal control policy which minimizes an asymptotic quadratic performance criterion.
On an optimum principle for partially observed controlled jump Markovian processes
van Huu Nguyen (1981)
Kybernetika
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About the linear-quadratic regulator problem under a fractional brownian perturbation
M. L. Kleptsyna, Alain Le Breton, M. Viot (2003)
ESAIM: Probability and Statistics
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In this paper we solve the basic fractional analogue of the classical linear-quadratic gaussian regulator problem in continuous time. For a completely observable controlled linear system driven by a fractional brownian motion, we describe explicitely the optimal control policy which minimizes a quadratic performance criterion.
Entropic Conditions and Hedging
Samuel Njoh (2007)
ESAIM: Probability and Statistics
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In many markets, especially in energy markets, electricity markets for instance, the detention of the physical asset is quite difficult. This is also the case for crude oil as treated by Davis (2000). So one can identify a good proxy which is an asset (financial or physical) (one)whose the spot price is significantly correlated with the spot price of the underlying ( electicity or crude oil). Generally, the market could become incomplete. We explicit exact hedging strategies for exponential...
Approximation and optimality necessary conditions in relaxed stochastic control problems.
Bahlali, Seïd, Mezerdi, Brahim, Djehiche, Boualem (2006)
Journal of Applied Mathematics and Stochastic Analysis
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Pricing rules under asymmetric information
Shigeyoshi Ogawa, Monique Pontier (2007)
ESAIM: Probability and Statistics
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We consider an extension of the Kyle and Back's model [Back, (1992) 387–409; Kyle, (1985) 1315–1335], meaning a model for the market with a continuous time risky asset and asymmetrical information. There are three financial agents: the market maker, an insider trader (who knows a random variable which will be revealed at final time) and a non informed agent. Here we assume that the non informed agent is strategic, namely he/she uses a utility function...