Add to ORKGAbstract:! The aim of this thesis is to find the optimal control of Markov chain with discounted evaluation of transitions in discrete and also in continuous time. We present Howard's iterative algorithm, the algorithm for finding the optimal control. Then the strategy is applied to the problem of optimal trading, where the goal is to maximize market price of the portfolio in infinite time horizont, given the existence of the proportional transaction costs. Market price is simulated with Brownian motion
We consider the optimal portfolio and consumption problem for a jump-diffusion process with regime s...
We consider an optimal control problem with a deterministic finite horizon and state variable dynami...
The main topic of this bachelor thesis is Markov reward chains with finite state set. We consider a ...
Abstract:! The aim of this thesis is to find the optimal control of Markov chain with discounted eva...
Title: Exponential control of homogeneous Markov processes Author: Pavol Stanek Department: Departme...
summary:This paper is related to Markov Decision Processes. The optimal control problem is to minimi...
An efficient algorithm is developed to price European options in the presence of proportional transa...
We consider the problem of maximizing the expected utility of the terminal wealth of a portfolio in ...
In mathematical finance, modeling stock prices is always a challenging task. In this work, instead o...
We consider an optimal control problem with the discounted and average payoff. The reward rate (or c...
Among various rare events, the effective computation of transition paths connecting metastable state...
In the first segment this thesis deal with Markov chains with discreet time and a finite set of stat...
Testing theorems are received for controlled diffusion processes with progressive and pulse equation...
The "minimum cost per unit time" control problem is studied for a class of Markov chains that, thoug...
We study optimal control of Markov processes with age-dependent transition rates. The control policy...
We consider the optimal portfolio and consumption problem for a jump-diffusion process with regime s...
We consider an optimal control problem with a deterministic finite horizon and state variable dynami...
The main topic of this bachelor thesis is Markov reward chains with finite state set. We consider a ...
Abstract:! The aim of this thesis is to find the optimal control of Markov chain with discounted eva...
Title: Exponential control of homogeneous Markov processes Author: Pavol Stanek Department: Departme...
summary:This paper is related to Markov Decision Processes. The optimal control problem is to minimi...
An efficient algorithm is developed to price European options in the presence of proportional transa...
We consider the problem of maximizing the expected utility of the terminal wealth of a portfolio in ...
In mathematical finance, modeling stock prices is always a challenging task. In this work, instead o...
We consider an optimal control problem with the discounted and average payoff. The reward rate (or c...
Among various rare events, the effective computation of transition paths connecting metastable state...
In the first segment this thesis deal with Markov chains with discreet time and a finite set of stat...
Testing theorems are received for controlled diffusion processes with progressive and pulse equation...
The "minimum cost per unit time" control problem is studied for a class of Markov chains that, thoug...
We study optimal control of Markov processes with age-dependent transition rates. The control policy...
We consider the optimal portfolio and consumption problem for a jump-diffusion process with regime s...
We consider an optimal control problem with a deterministic finite horizon and state variable dynami...
The main topic of this bachelor thesis is Markov reward chains with finite state set. We consider a ...