Search Results - subject:"Stochastic Control"

Thompson sampling with information relaxation penalties

Min, Seungki; Maglaras, Costis; Moallemi, Ciamac C. - In: Management science : journal of the Institute for … 71 (2025) 3, pp. 1988-2010

Persistent link: https://www.econbiz.de/10015411774

Optimal reduction of public debt under partial observation of the economic growth

Callegaro, Giorgia; Ceci, Claudia; Ferrari, Giorgio - 2019

total expected costs of holding debt and of debt's reduction policies. We model this problem as a singular stochastic … control problem under partial observation. The contribution of the paper is twofold. Firstly, we provide a general formulation …

Persistent link: https://www.econbiz.de/10011959719

De Finetti's control problem with parisian ruin for spectrally negative Lévy processes

Renaud, Jean-François - In: Risks : open access journal 7 (2019) 3/73, pp. 1-11

We consider de Finetti’s stochastic control problem when the (controlled) process is allowed to spend time under the …

Persistent link: https://www.econbiz.de/10012127604

On a class of infinite-dimensional singular stochastic control problems

Federico, Salvatore; Ferrari, Giorgio; Riedel, Frank; … - 2019

We study a class of infinite-dimensional singular stochastic control problems with applications in economic theory and …

Persistent link: https://www.econbiz.de/10012009904

Optimal control of debt-to-GDP ratio in an N-state regime switching economy

Ferrari, Giorgio; Rodosthenous, Neofytos - 2019

We solve an infinite time-horizon bounded-variation stochastic control problem with regime switching between N states …

Persistent link: https://www.econbiz.de/10012009976

Optimal installation of solar panels with price impact : a solvable singular stochastic control problem

Koch, Torben; Vargiolu, Tiziano - 2019

expected proportional costs of installation. This problem is modeled as a two-dimensional degenerate singular stochastic … control problem in which the installation strategy is identified as the company's control variable. We follow a guess …

Persistent link: https://www.econbiz.de/10012121992

Optimal Limit Order Book Trading Strategies with Stochastic Volatility in the Underlying Asset

Aydoğan, Burcu; Uğur, Ömür; Aksoy, Ümit - In: Computational Economics 62 (2022) 1, pp. 289-324

In quantitative finance, there have been numerous new aspects and developments related with the stochastic control and …

Persistent link: https://www.econbiz.de/10015194316

Optimal execution with multiplicative price impact and incomplete information on the return

Dammann, Felix; Ferrari, Giorgio - 2022

mathematical modelling leads to a singular stochastic control problem featuring a finite-fuel constraint and partial observation …

Persistent link: https://www.econbiz.de/10014304789

A unifying framework for submodular mean field games

Dianetti, Jodi; Ferrari, Giorgio; Fischer, Markus; … - 2022

We provide an abstract framework for submodular mean field games and identify verifiable sufficient conditions that allow to prove existence and approximation of strong mean field equilibria in models where data may not be continuous with respect to the measure parameter and common noise is...

Persistent link: https://www.econbiz.de/10012819025

A singular stochastic control approach for optimal pairs trading with proportional transaction costs

Xing, Haipeng - In: Journal of Risk and Financial Management 15 (2022) 4, pp. 1-23

use a singular stochastic control approach to study an optimal pairs trading problem with proportional transaction costs … singular stochastic control value function. We then develop a discrete time dynamic programming algorithm to compute the …

Persistent link: https://www.econbiz.de/10013201450