Search Results - subject:"Robust Control"

Robust optimal control for a consumption-investment problem

Schied, Alexander - In: Computational Statistics 67 (2008) 1, pp. 1-20

We give an explicit PDE characterization for the solution of the problem of maximizing the utility of both terminal wealth and intertemporal consumption under model uncertainty. The underlying market model consists of a risky asset, whose volatility and long-term trend are driven by an external...

Persistent link: https://www.econbiz.de/10010759446

Robust chaos synchronization of noise-perturbed chaotic systems with multiple time-delays

Cheng, Chun-Kai; Kuo, Hang-Hong; Hou, Yi-You; Hwang, … - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 13, pp. 3093-3102

The aim of this paper is to propose an output coupling and feedback scheme, which is not only to guarantee the asymptotic synchronization between the master and the slave chaotic systems with multiple time-delays but also to attenuate the effects of noise perturbation on the overall error system...

Persistent link: https://www.econbiz.de/10011057091

Monetary Policy in a Small Open Economy with a Preference for Robustness

Dennis, Richard; Leitemo, Kai; Söderström, Ulf - C.E.P.R. Discussion Papers - 2007

We use robust control techniques to study the effects of model uncertainty on monetary policy in an estimated, semi …

Persistent link: https://www.econbiz.de/10005136758

Environmental Policy Under Model Uncertainty: A Robust Optimal Control Approach

Funke, Michael; Paetz, Michael - Institut für Makroökonomie und Wirtschaftspolitik, … - 2007

The design of optimal environmental policy inherits model uncertainty. We investigate the consequences in a simple linear model, where the aim of the policymaker is to stabilize the atmospheric content of carbon. We study how decision-makers' concerns about robustness alters policy using the...

Persistent link: https://www.econbiz.de/10005247759

UNCERTAINTY AVERSION, ROBUST CONTROL AND ASSET HOLDINGS WITH A STOCHASTIC INVESTMENT OPPORTUNITY SET

VARDAS, GIANNIS; XEPAPADEAS, ANASTASIOS - In: International Journal of Theoretical and Applied … 10 (2007) 06, pp. 985-1014

We formulate the portfolio choice problem as a robust control problem under uncertainty or ambiguity aversion. By …, which is the standard risk aversion case. This result goes against the general belief that uncertainty aversion and robust … control methods lead to conservative behavior. We also show that the investor is more likely to increase the holdings of the …

Persistent link: https://www.econbiz.de/10005080475

Stochastic Optimization and Worst-Case Analysis in Monetary Policy Design

Žaković, Stan; Wieland, Volker; Rustem, Berc - In: Computational Economics 30 (2007) 4, pp. 329-347

Persistent link: https://www.econbiz.de/10005808934

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

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

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