Search Results - subject:"Robust Control"

ON THE SINGULARITIES OF AN IMPULSIVE DIFFERENTIAL GAME ARISING IN MATHEMATICAL FINANCE

BERNHARD, PIERRE - In: International Game Theory Review (IGTR) 08 (2006) 02, pp. 219-229

We investigate an impulse control differential game arising in a problem of option pricing in mathematical finance. In a previous paper, it was shown that its Value function in ℝ3 could be described as a pair of functions affine in one of the variables, joined on a 2D manifold. Depending on...

Persistent link: https://www.econbiz.de/10005047582

Methods for Robust Control

Dennis, Richard; Leitemo, Kai; Söderström, Ulf - C.E.P.R. Discussion Papers - 2006

Robust control allows policymakers to formulate policies that guard against model misspecification. The principal tools … used to solve robust control problems are state-space methods (see Hansen and Sargent, 2006, and Giordani and Söderlind … rational expectations can also be applied to robust control problems, with the advantage that they bypass the task, often …

Persistent link: https://www.econbiz.de/10005791660

A Classification System for Economic Stochastic Control Models

Kendrick, David; Amman, Hans - In: Computational Economics 27 (2006) 4, pp. 453-481

Persistent link: https://www.econbiz.de/10005701584

Understanding the Difference Between Robust Control and Optimal Control in a Linear Discrete-Time System with Time-Varying Parameters

TUCCI, MARCO - In: Computational Economics 27 (2006) 4, pp. 533-558

Persistent link: https://www.econbiz.de/10005701693

The robust permanent income model revisited

Tucci, Marco P. - Society for Computational Economics - SCE - 2006

the case where the objective function depends upon arbitrary desired paths. By comparing robust control with the optimal …

Persistent link: https://www.econbiz.de/10005342946

Stochastic Optimization and Worst Case Analysis in Monetary Policy Design

Rustem, Berc; Wieland, Volker; Zakovic, Stan - C.E.P.R. Discussion Papers - 2005

In this paper we compare expected loss minimization to worst-case or minimax analysis in the design of simple Taylor-style rules for monetary policy using a small model estimated for the euro area by Orphanides and Wieland (2000). We find that rules optimized under a minimax objective in the...

Persistent link: https://www.econbiz.de/10005791479

Robust Monetary Policy in a Small Open Economy

Leitemo, Kai; Söderström, Ulf - C.E.P.R. Discussion Papers - 2005

This paper studies how a central bank’s preference for robustness against model misspecification affects the design of monetary policy in a New-Keynesian model of a small open economy. Due to the simple model structure, we are able to solve analytically for the optimal robust policy rule, and...

Persistent link: https://www.econbiz.de/10005791942

Robust monetary policy in the New-Keynesian framework

Leitemo, Kai; Söderström, Ulf - EconWPA - 2005

We study the effects of model uncertainty in a simple New-Keynesian model using robust control techniques. Due to the … simple model structure, we are able to find closed-form solutions for the robust control problem, analysing both instrument …

Persistent link: https://www.econbiz.de/10005126139

Consumption, Growth and Asset Pricing: A Regime Switching and Robust Control

Dibooglu, Sel; Kenc, Turalay - Society for Computational Economics - SCE - 2005

economic conditions and to uncertainty aversion (robust control). We use a regime switching process rather than the popular … premia seem to be higher at business cycle troughs than they are at peaks. As for the robust control feature of the model, we … clear advantage of using the robust control approach is that the portfolio rule gives rise to the risk premium due to …

Persistent link: https://www.econbiz.de/10005343011

Robust Monetary Policy in the New-Keynesian Framework

Leitemo, Kai; Söderström, Ulf - C.E.P.R. Discussion Papers - 2004

Persistent link: https://www.econbiz.de/10005498037