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Some Optimization Problems for Stoch...

Hussain, Azmat.

Some Optimization Problems for Stochastic Systems with Memory.

紀錄類型:	書目-語言資料,手稿 : Monograph/item
正題名/作者:	Some Optimization Problems for Stochastic Systems with Memory./
作者:	Hussain, Azmat.
面頁冊數:	1 online resource (132 pages)
附註:	Source: Dissertation Abstracts International, Volume: 78-08(E), Section: B.
Contained By:	Dissertation Abstracts International78-08B(E).
標題:	Operations research. -
電子資源:	click for full text (PQDT)
ISBN:	9781369619799

Some Optimization Problems for Stochastic Systems with Memory.
Hussain, Azmat.

Some Optimization Problems for Stochastic Systems with Memory. - 1 online resource (132 pages)

Source: Dissertation Abstracts International, Volume: 78-08(E), Section: B.

Thesis (Ph.D.)

Includes bibliographical references

We consider portfolio optimization models of the Merton's type over finite and infinite time horizons. Unlike the classical Markov model, we study systems with delays. We consider both finite and infinite delay/memory models. The problem is formulated as a stochastic control problem and the state evolves according to a process governed by a stochastic process with delay. The goal is to choose investment and consumption controls such that the total expected discounted utility is maximized. Under certain conditions, in each model, we derive the optimal controls and explicit solutions for the associated Hamilton-Jacobi-Bellman (HJB) equations in a finite dimensional space for logarithmic, exponential and HARA utility functions. For each model, verification theorems are established to ensure that the solution obtained from HJB equation is equal to the value function.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018

Mode of access: World Wide Web

ISBN: 9781369619799Subjects--Topical Terms:

573517
Operations research.
Index Terms--Genre/Form:

554714
Electronic books.

Some Optimization Problems for Stochastic Systems with Memory.
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006 m o u
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020 $a 9781369619799
035 $a (MiAaPQ)AAI10583284
035 $a AAI10583284
040 $a MiAaPQ $b eng $c MiAaPQ
099 $a TUL $f hyy $c available through World Wide Web
100 1 $a Hussain, Azmat. $3 1180807
245 1 0 $a Some Optimization Problems for Stochastic Systems with Memory.
264 0 $c 2016
300 $a 1 online resource (132 pages)
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
338 $a online resource $b cr $2 rdacarrier
500 $a Source: Dissertation Abstracts International, Volume: 78-08(E), Section: B.
500 $a Adviser: Tao Pang.
502 $a Thesis (Ph.D.) $c North Carolina State University $d 2016.
504 $a Includes bibliographical references
520 $a We consider portfolio optimization models of the Merton's type over finite and infinite time horizons. Unlike the classical Markov model, we study systems with delays. We consider both finite and infinite delay/memory models. The problem is formulated as a stochastic control problem and the state evolves according to a process governed by a stochastic process with delay. The goal is to choose investment and consumption controls such that the total expected discounted utility is maximized. Under certain conditions, in each model, we derive the optimal controls and explicit solutions for the associated Hamilton-Jacobi-Bellman (HJB) equations in a finite dimensional space for logarithmic, exponential and HARA utility functions. For each model, verification theorems are established to ensure that the solution obtained from HJB equation is equal to the value function.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2018
538 $a Mode of access: World Wide Web
650 4 $a Operations research. $3 573517
650 4 $a Applied mathematics. $3 1069907
655 7 $a Electronic books. $2 local $3 554714
690 $a 0796
690 $a 0364
710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a North Carolina State University. $3 845424
773 0 $t Dissertation Abstracts International $g 78-08B(E).
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10583284 $z click for full text (PQDT)

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