Displaying similar documents to “Dynamics of doubly stochastic quadratic operators on a finite-dimensional simplex”

Equivalent cost functionals and stochastic linear quadratic optimal control problems

Zhiyong Yu (2013)

ESAIM: Control, Optimisation and Calculus of Variations

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This paper is concerned with the stochastic linear quadratic optimal control problems (LQ problems, for short) for which the coefficients are allowed to be random and the cost functionals are allowed to have negative weights on the square of control variables. We propose a new method, the equivalent cost functional method, to deal with the LQ problems. Comparing to the classical methods, the new method is simple, flexible and non-abstract. The new method can also be applied to deal with...

A note on intersections of simplices

David A. Edwards, Ondřej F. K. Kalenda, Jiří Spurný (2011)

Bulletin de la Société Mathématique de France

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We provide a corrected proof of [1, Théorème 9] stating that any metrizable infinite-dimensional simplex is affinely homeomorphic to the intersection of a decreasing sequence of Bauer simplices.

Optimal position targeting with stochastic linear-quadratic costs

Stefan Ankirchner, Thomas Kruse (2015)

Banach Center Publications

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We consider the dynamic control problem of attaining a target position at a finite time T, while minimizing a linear-quadratic cost functional depending on the position and speed. We assume that the coefficients of the linear-quadratic cost functional are stochastic processes adapted to a Brownian filtration. We provide a probabilistic solution in terms of two coupled backward stochastic differential equations possessing a singularity at the terminal time T. We verify optimality of the...