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A Unified Computational Method for Several Stochastic Optimal Control Problems
1988In this paper, we consider a class of dynamical systems described by linear Ito stochastic differential equations. Several stochastic optimal control problems of practical importance are then formulated, where their corresponding cost functionals are allowed to be nonlinear.
K. L. Teo, C. J. Goh
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Applied Mathematics & Optimization, 1976
The paper treats a computational method for the Optimal Stopping and Stochastic Impulsive Control problem for a diffusion. In the latter problem control acts only intermittently since there is a basic positive “transaction” cost to be paid at each instant that the control acts.
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The paper treats a computational method for the Optimal Stopping and Stochastic Impulsive Control problem for a diffusion. In the latter problem control acts only intermittently since there is a basic positive “transaction” cost to be paid at each instant that the control acts.
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Machine Learning Methods for Model Generation, Sensitivity Computation, and Stochastic Control
Méthodes d’apprentissage pour la génération de modèles, le calcul de sensibilités et le contrôle stochastique Cette thèse explore l'intégration des méthodes modernes d'apprentissage automatique dans plusieurs problématiques centrales de la finance quantitative : la modélisation de lois, la valorisation et la calibration, les problèmes ...openaire +1 more source
Stochastic Analysis of Nonlinear Cancer Disease Model through Virotherapy and Computational Methods
Mathematics, 2022Muhammad Rafiq +2 more
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Hull-form stochastic optimization via computational-cost reduction methods
Engineering With Computers, 2021Matteo Diez +2 more
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Stochastic Quasi-Newton Methods
Proceedings of the IEEE, 2020Aryan Mokhtari, Alejandro Ribeiro
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