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Methods for Optimal Stochastic Contr...
~
Miller, Christopher Wells.
Methods for Optimal Stochastic Control and Optimal Stopping Problems Featuring Time-Inconsistency.
紀錄類型:
書目-語言資料,手稿 : Monograph/item
正題名/作者:
Methods for Optimal Stochastic Control and Optimal Stopping Problems Featuring Time-Inconsistency./
作者:
Miller, Christopher Wells.
面頁冊數:
1 online resource (101 pages)
附註:
Source: Dissertation Abstracts International, Volume: 78-10(E), Section: B.
Contained By:
Dissertation Abstracts International78-10B(E).
標題:
Applied mathematics. -
電子資源:
click for full text (PQDT)
ISBN:
9781369841824
Methods for Optimal Stochastic Control and Optimal Stopping Problems Featuring Time-Inconsistency.
Miller, Christopher Wells.
Methods for Optimal Stochastic Control and Optimal Stopping Problems Featuring Time-Inconsistency.
- 1 online resource (101 pages)
Source: Dissertation Abstracts International, Volume: 78-10(E), Section: B.
Thesis (Ph.D.)
Includes bibliographical references
This thesis presents novel methods for computing optimal pre-commitment strategies in time-inconsistent optimal stochastic control and optimal stopping problems. We demonstrate how a time-inconsistent problem can often be re-written in terms of a sequential optimization problem involving the value function of a time-consistent optimal control problem in a higher-dimensional state-space. In particular, we obtain optimal pre-commitment strategies in a non-linear optimal stopping problem, in an optimal stochastic control problem involving conditional value-at-risk, and in an optimal stopping problem with a distribution constraint on the admissible stopping times. In each case, we relate the original problem to auxiliary time-consistent problems, the value functions of which may be characterized in terms of viscosity solutions of a Hamilton-Jacobi-Bellman equation.
Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018
Mode of access: World Wide Web
ISBN: 9781369841824Subjects--Topical Terms:
1069907
Applied mathematics.
Index Terms--Genre/Form:
554714
Electronic books.
Methods for Optimal Stochastic Control and Optimal Stopping Problems Featuring Time-Inconsistency.
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Methods for Optimal Stochastic Control and Optimal Stopping Problems Featuring Time-Inconsistency.
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Source: Dissertation Abstracts International, Volume: 78-10(E), Section: B.
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2016.
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This thesis presents novel methods for computing optimal pre-commitment strategies in time-inconsistent optimal stochastic control and optimal stopping problems. We demonstrate how a time-inconsistent problem can often be re-written in terms of a sequential optimization problem involving the value function of a time-consistent optimal control problem in a higher-dimensional state-space. In particular, we obtain optimal pre-commitment strategies in a non-linear optimal stopping problem, in an optimal stochastic control problem involving conditional value-at-risk, and in an optimal stopping problem with a distribution constraint on the admissible stopping times. In each case, we relate the original problem to auxiliary time-consistent problems, the value functions of which may be characterized in terms of viscosity solutions of a Hamilton-Jacobi-Bellman equation.
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Ann Arbor, Mich. :
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ProQuest,
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2018
538
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Mode of access: World Wide Web
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Applied mathematics.
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click for full text (PQDT)
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