Search for tag: "singular control"
Ph.D. course "The mathematics of energy markets" - Lecture 5Ito 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
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Lecture 7End of non-Markovian setting. Two-sided singular control of an inventory with unknown demand trend.
From Tiziano Vargiolu
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Lecture 6Links between singular stochastic control and optimal stopping problems and games: the one-dimensional Markov setting, and a more general non-Markovian setting.
From Tiziano Vargiolu
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Lecture 3Links 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…
From Tiziano Vargiolu
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Lecture 1Formulation of the problem with a motivating example. Heuristics for the value function and its link with a variational inequality. Verification theorem.
From Tiziano Vargiolu
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