Search Results - subject:"stochastic control"

Reducing Obizhaeva-Wang-type trade execution problems to LQ stochastic control problems

Ackermann, Julia; Kruse, Thomas; Urusov, Mikhail - In: Finance and stochastics 28 (2024) 3, pp. 813-863

Persistent link: https://www.econbiz.de/10015130389

Optimal fiscal policy in times of uncertainty : a stochastic control approach

Neck, Reinhard; Blueschke, Dmitri; Blueschke-Nikolaeva, … - In: Empirica : journal of european economics 52 (2025) 1, pp. 99-120

Persistent link: https://www.econbiz.de/10015333785

Reducing Obizhaeva–Wang-type trade execution problems to LQ stochastic control problems

Ackermann, Julia; Kruse, Thomas; Urusov, Mikhail - In: Finance and Stochastics 28 (2024) 3, pp. 813-863

We start with a stochastic control problem where the control process is of finite variation (possibly with jumps) and … progressively measurable processes. Then we reduce the extended problem to a linear–quadratic (LQ) stochastic control problem. Using …

Persistent link: https://www.econbiz.de/10015359198

A stochastic non-zero-sum game of controlling the debt-to-GDP ratio

Dammann, Felix; Rodosthenous, Néofytos; Villeneuve, … - 2024

Persistent link: https://www.econbiz.de/10015097460

Quadratic optimal control of graphon Q-noise linear systems

Dunyak, Alex; Caines, Peter E. - 2024

Persistent link: https://www.econbiz.de/10015073660

Optimal performance of a tontine overlay subject to withdrawal constraints

Forsyth, Peter; Vetzal, Kenneth R.; Westmacott, Graham - In: ASTIN bulletin : the journal of the International … 54 (2024) 1, pp. 94-128

Persistent link: https://www.econbiz.de/10014485602

Time-inconsistent view on a dividend problem with penalty

Strini, Josef Anton; Thonhauser, Stefan - In: Scandinavian actuarial journal 2023 (2023) 8, pp. 811-833

Persistent link: https://www.econbiz.de/10014383974

A singular stochastic control problem with direction switching cost

Kruk, Łukasz - In: Mathematical methods of operations research : ZOR 98 (2023) 3, pp. 325-349

Persistent link: https://www.econbiz.de/10014514912

Linear-quadratic-singular stochastic differential games and applications

Dianetti, Jodi - 2023

We consider a class of non-cooperative N-player non-zero-sum stochastic differential games with singular controls, in which each player can affect a linear stochastic differential equation in order to minimize a cost functional which is quadratic in the state and linear in the control. We call...

Persistent link: https://www.econbiz.de/10014277006

Limited factors and why optimal growth has led to destruction

Camacho, Carmen; Ruan, Weihua; Zou, Benteng - 2025

Persistent link: https://www.econbiz.de/10015191324