Difference between revisions of "Finance, Economics and Nature: Stochastic Optimal Control under Shifts, Switches and Impulses"

Revision as of 13:55, 25 July 2016

by: Gerhard-Wilhelm Weber

Abstract

Outline

-Introduction

• Stock Price Dynamics, and Lévy Processes

• Stochastic Hybrid Systems (with Jumps) and Markov Switching Models

• Stochastic Control of Hybrid Systems I and II

• Optimal Control of Stochastice Hybrid Systems with Jumps: 2 Approaches

• Example

• … under Delay: Maximum Principle

• Example

• Appendix: … and under Partial Information

• Appendix: Insider Information; Dynamic Programming and HJB Eqn.

Revision as of 13:55, 25 July 2016 (view source) Dcadmin (Talk \| contribs) (Created page with "by: Gerhard-Wilhelm Weber '''Abstract''' '''Outline''' -Introduction • Stock Price Dynamics, and Lévy Processes • Stochastic Hybrid Systems (with Jumps) and Markov Sw...")	Revision as of 13:55, 25 July 2016 (view source) Dcadmin (Talk \| contribs) m (Protected "Finance, Economics and Nature: Stochastic Optimal Control under Shifts, Switches and Impulses" ([edit=sysop] (indefinite) [move=sysop] (indefinite))) Newer edit →
(No difference)