Search for tag: "singular control"

Ph.D. course "The mathematics of energy markets" - Lecture 5

Ito processes and Ito-Doeblin formula. Stochastic differential equations. Back to real options in energy markets: an irreversible installation example with market impact, solved with singular…

From  Tiziano Vargiolu 4 plays 0  

Lecture 7

End of non-Markovian setting. Two-sided singular control of an inventory with unknown demand trend.

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Lecture 6

Links between singular stochastic control and optimal stopping problems and games: the one-dimensional Markov setting, and a more general non-Markovian setting.

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Lecture 3

Links between singular stochastic control and stochastic optimal stopping problems. A general one-dimensional singular control problem. Concepts of resolvent, scale function and speed measure of…

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Lecture 1

Formulation of the problem with a motivating example. Heuristics for the value function and its link with a variational inequality. Verification theorem.

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