ε-monotone Fourier methods for optimal stochastic control in finance

Peter A. Forsyth; George Labahn

doi:10.21314/jcf.2018.361

ε-monotone Fourier methods for optimal stochastic control in finance

The Journal of Computational Finance ◽

10.21314/jcf.2018.361 ◽

2019 ◽

Vol 22 (4) ◽

pp. 25-71 ◽

Cited By ~ 13

Author(s):

Peter A. Forsyth ◽

George Labahn

Keyword(s):

Stochastic Control ◽

Optimal Stochastic Control ◽

Fourier Methods

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Optimal Stochastic Control of Energy Storage System Based on Pontryagin Minimum Principle for Flattening PEV Fast Charging in a Service Area

IEEE Control Systems Letters ◽

10.1109/lcsys.2021.3066155 ◽

2021 ◽

pp. 1-1

Author(s):

Francesco Liberati ◽

Alessandro Di Giorgio ◽

Giorgio Koch

Keyword(s):

Energy Storage ◽

Stochastic Control ◽

Minimum Principle ◽

Storage System ◽

Energy Storage System ◽

Service Area ◽

Optimal Stochastic Control ◽

Pontryagin Minimum Principle ◽

Fast Charging

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Solvability Conditions for Indefinite Linear Quadratic Optimal Stochastic Control Problems and Associated Stochastic Riccati Equations

SIAM Journal on Control and Optimization ◽

10.1137/140956051 ◽

2015 ◽

Vol 53 (6) ◽

pp. 3673-3689 ◽

Cited By ~ 10

Author(s):

Kai Du

Keyword(s):

Stochastic Control ◽

Riccati Equations ◽

Optimal Stochastic Control ◽

Control Problems ◽

Linear Quadratic ◽

Solvability Conditions ◽

Stochastic Control Problems

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Remarks on “optimal stochastic control for discrete-time linear system with interrupted observations”

Automatica ◽

10.1016/0005-1098(74)90027-2 ◽

1974 ◽

Vol 10 (2) ◽

pp. 213-214 ◽

Cited By ~ 3

Author(s):

Satoru Fujishige

Keyword(s):

Linear System ◽

Stochastic Control ◽

Discrete Time ◽

Optimal Stochastic Control ◽

Time Linear

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Optimal stochastic control of discrete-time systems subject to total variation distance uncertainty

49th IEEE Conference on Decision and Control (CDC) ◽

10.1109/cdc.2010.5717201 ◽

2010 ◽

Cited By ~ 1

Author(s):

Charalambos D. Charalambous ◽

Farzad Rezaei ◽

Ioannis Tzortzis

Keyword(s):

Total Variation ◽

Stochastic Control ◽

Discrete Time ◽

Optimal Stochastic Control ◽

Total Variation Distance ◽

Discrete Time Systems ◽

Variation Distance ◽

Time Systems

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An Introductory Approach to Duality in Optimal Stochastic Control

SIAM Review ◽

10.1137/1020004 ◽

1978 ◽

Vol 20 (1) ◽

pp. 62-78 ◽

Cited By ~ 242

Author(s):

Jean-Michel Bismut

Keyword(s):

Stochastic Control ◽

Optimal Stochastic Control

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Numerical methods in ergodic optimal stochastic control and application

Applied Stochastic Analysis - Lecture Notes in Control and Information Sciences ◽

10.1007/bfb0007048 ◽

2005 ◽

pp. 59-73 ◽

Cited By ~ 9

Author(s):

F. Campillo ◽

E. Pardoux

Keyword(s):

Numerical Methods ◽

Stochastic Control ◽

Optimal Stochastic Control

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Optimal Stochastic Control Schemes within a Structural Reliability Framework

10.1007/978-3-319-01405-0 ◽

2013 ◽

Cited By ~ 5

Author(s):

Bernt J. Leira

Keyword(s):

Stochastic Control ◽

Structural Reliability ◽

Optimal Stochastic Control ◽

Control Schemes

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Maximum Principle of Optimal Stochastic Control with Terminal State Constraint and Its Application in Finance

Journal of Systems Science and Complexity ◽

10.1007/s11424-018-6212-2 ◽

2018 ◽

Vol 31 (4) ◽

pp. 907-926 ◽

Cited By ~ 1

Author(s):

Yu Zhuo

Keyword(s):

Maximum Principle ◽

Stochastic Control ◽

State Constraint ◽

Terminal State ◽

Optimal Stochastic Control ◽

Terminal State Constraint

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Optimal stochastic control in terms of martingales

Advances in Applied Probability ◽

10.1017/s0001867800041914 ◽

1976 ◽

Vol 8 (02) ◽

pp. 241

Author(s):

G. Farlay

Keyword(s):

Stochastic Control ◽

Optimal Stochastic Control

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On the practical stability of optimal stochastic control systems with dead-time

Automatica ◽

10.1016/0005-1098(82)90080-2 ◽

1982 ◽

Vol 18 (4) ◽

pp. 491-492

Author(s):

Z.J. Palmor

Keyword(s):

Control Systems ◽

Stochastic Control ◽

Dead Time ◽

Optimal Stochastic Control ◽

Practical Stability

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