Finite utility on financial markets with asymmetric information and structure properties of the price dynamics
Finite-dimensionality of information states in optimal control of stochastic systems: a Lie algebraic approach
In this paper we introduce the sufficient statistic algebra which is responsible for propagating the sufficient statistic, or information state, in the optimal control of stochastic systems. Certain Lie algebraic methods widely used in nonlinear control theory, are then employed to derive finite- dimensional controllers. The sufficient statistic algebra enables us to determine a priori whether there exist finite-dimensional controllers; it also enables us to classify all finite-dimensional controllers....
Forecast horizon in dynamic family of one-dimensional control problems [Book]
Full cooperation applied to environmental improvements
We analyse the case of certificates of environmental improvements and full cooperation of two identical agents. We model pollution levels as geometric Brownian motions with quadratic costs of improvements. Our main result is the construction of the optimal improvements strategy in the case of separate actions, collusive actions and fusion. In certain range of the model parameters, the fusion solution generates lower pollution levels than separate and collusive actions.