Search Results - subject:"Optimal Control"

Dynamic Pairs Trading Using the Stochastic Control Approach

Tourin, Agnes - 2014

We propose a model for analyzing dynamic pairs trading strategies using the stochastic control approach. The model is explored in an optimal portfolio setting, where the portfolio consists of a bank account and two co-integrated stocks and the objective is to maximize for a fixed time horizon,...

Persistent link: https://www.econbiz.de/10013066526

A Tutorial on Optimal Control Theory

Sethi, Suresh - 2014

, systems which evolve over time. Optimal control theory, a relatively new branch of mathematics, determines the optimal way to … control such a dynamic system. The purpose of this tutorial paper is to provide an elementary introduction to optimal control … most of this special issue of INFOR which contains articles applying optimal control theory to the solution of management …

Persistent link: https://www.econbiz.de/10013071070

A Stochastic Optimal Control for Max-Min Utility with Volatility Ambiguity

Yang, Shuzhen - 2014

In this paper, we study a stochastic optimal control for max-min utility admitting volatility ambiguity. By standard …

Persistent link: https://www.econbiz.de/10013048206

Optimal Control of Heteroskedastic Macroeconomic Moldes

Polito, Vito - 2014

This paper analyses the implications of heteroscedasticity for optimal macroeconomic policy and welfare. We find that changes in the variance structure driven by exogenous processes like GARCH affect welfare but not the optimal feedback rule. Conversely, changes in the variance structure driven...

Persistent link: https://www.econbiz.de/10013048864

Semiclassical Approximation in Stochastic Optimal Control : I. Portfolio Construction Problem

Chaiworawitkul, Sakda - 2014

This is the first in a series of papers in which we study an efficient approximation scheme for solving the Hamilton-Jacobi-Bellman equation for multi-dimensional problems in stochastic control theory. The method is a combination of a WKB style asymptotic expansion of the value function, which...

Persistent link: https://www.econbiz.de/10013052127

Solving the Non-Convexity Problem in Some Shopping-Time and Human-Capital Models

Cysne, Rubens Penha - 2014

Several works in the shopping-time and in the human-capital literature, due to the nonconcavity of the underlying Hamiltonian, use first-order conditions in dynamic optimization to characterize necessity, but not sufficiency, in intertemporal problems. In this work I choose one paper in each one...

Persistent link: https://www.econbiz.de/10013059592

The Role of R&D with a Continuum of Technologies and Environmental Degradation : An Optimal Control Approach

Bondarev, Anton A. - 2014

In this paper we develop an economic growth model that includes anthropogenic climate change. We explicitly include a research sector that creates new technologies and simultaneously expands productivities of existing technologies. The environment is affected by R&D activities both negatively,...

Persistent link: https://www.econbiz.de/10013062739

Robust Control of the Multi-Armed Bandit Problem

Caro, Felipe - 2014

We study a robust model of the multi-armed bandit (MAB) problem in which the transition probabilities are ambiguous and belong to subsets of the probability simplex. We characterize the optimal policy as a project-by-project retirement policy but we show that arms become dependent so the Gittins...

Persistent link: https://www.econbiz.de/10013062893

Optimal Control of Interbank Contagion Under Complete Information

Minca, Andreea - 2014

We study a preferred equity infusion government program set to mitigate interbank contagion. Financial institutions are prone to insolvency risk channeled through the network of interbank debt and to the risk of bank runs. The government seeks to maximize, under budget constraints, the total net...

Persistent link: https://www.econbiz.de/10013063137

What's the damage? : environmental regulation with policy-motivated bureaucrats

Voß, Achim; Lingens, Jörg - 2014 - This Version: January 31, 2014

Many environmental-policy problems are characterized by complexity and uncertainty. Government's choice concerning these policies commonly relies on information provided by a bureaucracy. Environmental bureaucrats often have a political motivation of their own, so they might be tempted to...

Persistent link: https://www.econbiz.de/10010338152