Stochastic Optimal Control for Estuarine Management

2018 ◽  
pp. 331-364
Author(s):  
Larry W. Mays
Keyword(s):  
Optimal Control ◽  
Stochastic Optimal Control ◽  
Estuarine Management

scholarly journals BSDEs with Logarithmic Growth Driven by Brownian Motion and Poisson Random Measure and Connection to Stochastic Control Problem

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Khalid Oufdil
Keyword(s):  
Optimal Control ◽  
Brownian Motion ◽  
Control Problem ◽  
Stochastic Optimal Control ◽  
Random Measure ◽  
Poisson Random Measure ◽  
One Dimensional ◽  
Stochastic Optimal Control Problem ◽  
Uniqueness Of The Solution ◽  
Logarithmic Growth

Abstract In this paper, we study one-dimensional backward stochastic differential equations under logarithmic growth in the 𝑧-variable ( | z | ⁢ | ln ⁡ | z | | ) (\lvert z\rvert\sqrt{\lvert\ln\lvert z\rvert\rvert}) . We show the existence and the uniqueness of the solution when the noise is driven by a Brownian motion and an independent Poisson random measure. In addition, we highlight the connection of such BSDEs with stochastic optimal control problem, where we show the existence of an optimal strategy for the control problem.

US Financial Debt Crisis: A Stochastic Optimal Control Approach

2011 ◽  
Vol 62 (3) ◽  
Author(s):  
Jerome L. Stein
Keyword(s):  
Optimal Control ◽  
Interest Rate ◽  
Financial Crisis ◽  
Upper Bound ◽  
Stochastic Optimal Control ◽  
Debt Crisis ◽  
Capital Gain ◽  
Empirical Measure ◽  
Net Worth ◽  
Control Approach

SummaryThe financial crisis was precipitated by the mortgage crisis. A whole structure of financial derivatives was based upon the ultimate debtors, the mortgagors. Insofar as the mortgagors were unable to service their debts, the values of the derivatives fell. The financial intermediaries whose assets and liabilities were based upon the value of derivatives were very highly leveraged. Changes in the values of their net worth were large multiples of changes in asset values. A cascade was precipitated by the mortgage defaults. In this manner, the mortgage debt crisis turned into a financial crisis. The crucial variable is the optimal debt of the real estate sector, which depends upon the capital gain and the interest rate. I apply the Stochastic Optimal Control (SOC) analysis to derive the optimal debt. Two models of the stochastic process on the capital gain and interest rate are presented. Each implies a different value of the optimal debt/net worth. I derive an upper bound of the optimal debt ratio, based upon the alternative models. An empirical measure of the excess debt: actual less the upper bound of the optimal ratio, is shown to be an early warning signal (EWS) of the debt crisis.

scholarly journals Sample-based informationl-theoretic stochastic optimal control

2014 ◽  
Author(s):  
Rudolf Lioutikov ◽  
Alexandros Paraschos ◽  
Jan Peters ◽  
Gerhard Neumann
Keyword(s):  
Optimal Control ◽  
Stochastic Optimal Control

Bank management via stochastic optimal control

Automatica ◽  
2006 ◽  
Vol 42 (8) ◽  
pp. 1395-1406 ◽  
Author(s):  
Janine Mukuddem-Petersen ◽  
Mark A. Petersen
Keyword(s):  
Optimal Control ◽  
Stochastic Optimal Control ◽  
Bank Management
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