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Methods for Optimal Stochastic Contr...

Miller, Christopher Wells.

Methods for Optimal Stochastic Control and Optimal Stopping Problems Featuring Time-Inconsistency.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	Methods for Optimal Stochastic Control and Optimal Stopping Problems Featuring Time-Inconsistency./
Author:	Miller, Christopher Wells.
Description:	1 online resource (101 pages)
Notes:	Source: Dissertation Abstracts International, Volume: 78-10(E), Section: B.
Contained By:	Dissertation Abstracts International78-10B(E).
Subject:	Applied mathematics. -
Online resource:	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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020 $a 9781369841824
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035 $a (MiAaPQ)berkeley:16608
035 $a AAI10249400
040 $a MiAaPQ $b eng $c MiAaPQ
099 $a TUL $f hyy $c available through World Wide Web
100 1 $a Miller, Christopher Wells. $3 1180571
245 1 0 $a Methods for Optimal Stochastic Control and Optimal Stopping Problems Featuring Time-Inconsistency.
264 0 $c 2016
300 $a 1 online resource (101 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: 78-10(E), Section: B.
500 $a Adviser: Lawrence C. Evans.
502 $a Thesis (Ph.D.) $c University of California, Berkeley $d 2016.
504 $a Includes bibliographical references
520 $a 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.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2018
538 $a Mode of access: World Wide Web
650 4 $a Applied mathematics. $3 1069907
655 7 $a Electronic books. $2 local $3 554714
690 $a 0364
710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a University of California, Berkeley. $b Applied Mathematics. $3 1180572
773 0 $t Dissertation Abstracts International $g 78-10B(E).
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10249400 $z click for full text (PQDT)

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