Search for tag: "singular control"

5 Media

Ph.D. course "The mathematics of energy… duration 1 hour 37 minutes Ph.D. course "The mathematics of energy… Ph.D. course "The mathematics of energy markets" - Lecture 5	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… ito process ito-doeblin formula ito isometry singular control From Tiziano Vargiolu 4 plays 0
Lecture 7 duration 1 hour 51 minutes Lecture 7 Lecture 7	Lecture 7 End of non-Markovian setting. Two-sided singular control of an inventory with unknown demand trend. singular control filtering continuation region integral equations optimal stopping From Tiziano Vargiolu 5 plays 0
Lecture 6 duration 1 hour 55 minutes Lecture 6 Lecture 6	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. singular control optimal stopping stochastic games variational inequality free boundary change of variable non-markovian problems From Tiziano Vargiolu 6 plays 0
Lecture 3 duration 1 hour 28 minutes Lecture 3 Lecture 3	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… singular control optimal stopping variational inequality free boundary obstacle problem scale function speed measure resolvent From Tiziano Vargiolu 8 plays 0
Lecture 1 duration 1 hour 43 minutes Lecture 1 Lecture 1	Lecture 1 Formulation of the problem with a motivating example. Heuristics for the value function and its link with a variational inequality. Verification theorem. singular control stochastic control value function variational inequality hamilton-jacobi-bellman equation verification theorem From Tiziano Vargiolu 12 plays 0