For example, a famous problem in finance is the optimal consumption and portfolio studied by Merton (see [162]), and one of the main methods to solve this problem is the martingale method combined with Lagrangian multipliers. Input: Cost function. Sun has broad interests in the area of control theory and its applications. In this chapter we shall deal with the stochastic control problem where the controlled system is driven by a fBm. Browse SIIMS; SIAM J. on Mathematical Analysis. Stochastic optimal control theory Bert Kappen SNN Radboud University Nijmegen the Netherlands July 5, 2008 Bert Kappen. Stochastic control aims to design the time path of the controlled variables that performs the desired control task with minimum cost, som… Although stochastic process theory and its applications have made great progress in recent years, there are still a lot of new and challenging problems existing in the areas of theory, analysis, and application, which cover the fields of stochastic control, Markov chains, renewal process, actuarial science, and so on. (1982) 3 Balalcrishnan, Applied Functional Analysis, Second Ed. Robert F. Stengel. Even in the stochastic optimal control of systems driven by Brownian motion case or even for deterministic optimal control the explicit solution is difficult to obtain except for linear systems with quadratic control. Introduction Optimal control theory: Optimize sum of a path cost and end cost. Stochastic control has many important applications and is a crucial branch of mathematics. Lieferung verfolgen oder Bestellung anzeigen, Recycling (einschließlich Entsorgung von Elektro- & Elektronikaltgeräten). Optimal Control Applications and Methods 41:3, 793-807. Not logged in We obtain the maximum principle for the optimal control of this problem by virtue of the duality method and the anticipated backward stochastic differential equations. We develop stochastic optimal control results for nonlinear discrete-time systems driven by disturbances modeled by a Markov chain. Control theory deals with the control of dynamical systems in engineered processes and machines. In addition, the book offers many methods for solving non-linear control problems, and demonstrates how to apply optimal control in a practical fashion. Stochastic Optimal Control with Finance Applications Tomas Bj¨ork, Department of Finance, Stockholm School of Economics, KTH, February, 2010 Tomas Bjork, 2010 1. by. … • Optimal investment with partial information. Part of Springer Nature. Nachdem Sie Produktseiten oder Suchergebnisse angesehen haben, finden Sie hier eine einfache Möglichkeit, diese Seiten wiederzufinden. Read the journal's full aims and scope. The worth of capital changes over time through investment as well as through random Brownian fluctuations in the unit price of capital. The second part introduces stochastic optimal control for Markov diffusion processes. Dieser Artikel kann nicht per 1-Click® bestellt werden. Deterministic and stochastic optimal control (Applications of mathematics, Vol.1) (Englisch) Gebundene Ausgabe – 17. These keywords were added by machine and not by the authors. Corresponding Author. Stochastic optimal control and applications. These problems merit further study by using more advanced theories and tools. In this work deterministic and stochastic hybrid optimal control problems are studied for systems where autonomous and controlled state jumps are allowed at the switching instants and, in addition to running costs, switching between discrete states incurs costs. Aside from his primary research on stochastic optimal control and differential games, he is exploring forward and backward stochastic differential equations, stochastic analysis, and mathematical finance. Dieser Artikel kann nicht an den von Ihnen ausgewählten Lieferort versendet werden. CiteSeerX - Scientific documents that cite the following paper: Stochastic Optimal Control: Theory and Application The explicit optimal consumption rate is obtained. Addeddate 2017-04-13 08:48:22 Identifier StochasticOptimalControl Identifier-ark ark:/13960/t58d57b21 Ocr ABBYY FineReader 11.0 Ppi 600 Scanner Internet Archive HTML5 Uploader 1.6.3. plus-circle Add Review. School of Mathematics, Shandong University, Jinan 250100, China. For linear quadratic control one can use the technique of completing squares. Some textbooks contain fundamental theory and examples of applications of stochastic control theory for systems driven by standard Brownian motion (see, for example, [96], [97], [182], [231]). Download preview PDF. (2020) Sufficient and necessary conditions for stochastic near-optimal controls: A stochastic chemostat model with non-zero cost inhibiting. Offers iterative methods for solving nonlinear control problems. Stöbern Sie jetzt durch unsere Auswahl beliebter Bücher aus verschiedenen Genres wie Krimi, Thriller, historische Romane oder Liebesromane. Browse SIMODS; SIAM J. on Matrix Analysis and Applications. On the other hand, problems in finance have recently led to new developments in the theory of stochastic control. Appearing in the theory of stochastic differential equations driven by fBms aus verschiedenen wie. 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