The characterization and numerical solution of two non-smooth optimal control problems governed by a Fokker–Planck (FP) equation are investigated in the framework of the Pontryagin maximum principle (PMP). The two FP control problems are related to the problem of determining open- and...

A stochastic analysis of financial data is presented. In particular we investigate how the statistics of log returns change with different time delays τ. The scale-dependent behaviour of financial data can be divided into two regions. The first time range, the small-timescale region (in the...