Search Results - subject:"Stochastic Control"

Regression methods for stochastic control problems and their convergence analysis

Belomestny, Denis; Kolodko, Anastasia; Schoenmakers, John - 2009

investor. -- Optimal stochastic control ; Regression methods ; Convergence analysis. … SFB 649 Discussion Paper 2009-026 Regression methods for stochastic control problems and their … for stochastic control problems and their convergence analysis Denis Belomestny1,∗, Anastasia Kolodko1, John Schoenmakers1 …

Persistent link: https://www.econbiz.de/10003835132

Cue combination in control risk judgments

Gaudernack, Jonas - 2009 - Preliminary Vers.

Persistent link: https://www.econbiz.de/10003823743

A viability theory approach to a two-stage optimal control problem of technology adoption

Krawczyk, Jacek B.; Serea, Oana-Silvia - 2009

Persistent link: https://www.econbiz.de/10003850920

A tale of two debt crises : a stochastic optimal control analysis

Stein, Jerome L. - 2009

Banks should evaluate whether a borrower is likely to default. The author applies several techniques in the extensive mathematical literature of stochastic optimal control/dynamic programming to derive an optimal debt in an environment where there are risks on both the asset and liabilities...

Persistent link: https://www.econbiz.de/10003884842

The role of uncertainty on US obesity : an application of control theory

Gomis-Porqueras, Pedro; Gonzalez, Fidel - 2009

Persistent link: https://www.econbiz.de/10003940866

Endogenous Growth, Backstop Technology Adoption and Optimal Jumps

Valente, Simone - 2009

We study a two-phase endogenous growth model in which the adoption of a backstop technology (e.g. solar) yields a sustained supply of essential energy inputs previously obtained from exhaustible resources (e.g. oil). Growth is knowledge-driven and the optimal timing of technology switching is...

Persistent link: https://www.econbiz.de/10012718970

Application of Stochastic Optimal Control to Financial Market Debt Crises

Stein, Jerome L. - 2009

This interdisciplinary paper explains how mathematical techniques of stochastic optimal control can be applied to the recent subprime mortgage crisis. Why did the financial markets fail to anticipate the recent debt crisis, despite the large literature in mathematical finance concerning optimal...

Persistent link: https://www.econbiz.de/10014210945

The Machine Maintenance and Sale Age Model of Kamien and Schwartz Revisited

Bensoussan, Alain; Sethi, Suresh P. - 2009

problem that are stochastic control problems not easily solvable or not at all solvable as deterministic problems …

Persistent link: https://www.econbiz.de/10014220737

A Better Budget Rule

Dothan, Michael U.; Thompson, Fred - 2009

During recessions, the newspapers are filled with stories of the pain caused by state and local budget cuts: slashed mental health funding, reductions in school meals, further delays in long-overdue infrastructure maintenance and replacement, and new taxes. During booms, they are filled stories...

Persistent link: https://www.econbiz.de/10014221488

Bounded variation singular stochastic control and associated Dynkin game

Boetius, Frederik - 2000

We consider an optimal control problem for a one-dimensional Itô diffusion and a stochastic game of optimal stopping associated with it. Their value functions satisfy ... and an optimal control defines a saddle point for the game. This extends earlier results to the case of bounded variation...

Persistent link: https://www.econbiz.de/10011545181