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Some Optimization Problems for Stoch...
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Hussain, Azmat.
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Some Optimization Problems for Stochastic Systems with Memory.
紀錄類型:
書目-電子資源 : Monograph/item
正題名/作者:
Some Optimization Problems for Stochastic Systems with Memory./
作者:
Hussain, Azmat.
出版者:
Ann Arbor : ProQuest Dissertations & Theses, : 2016,
面頁冊數:
132 p.
附註:
Source: Dissertation Abstracts International, Volume: 78-08(E), Section: B.
Contained By:
Dissertation Abstracts International78-08B(E).
標題:
Operations research. -
電子資源:
http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10583284
ISBN:
9781369619799
Some Optimization Problems for Stochastic Systems with Memory.
Hussain, Azmat.
Some Optimization Problems for Stochastic Systems with Memory.
- Ann Arbor : ProQuest Dissertations & Theses, 2016 - 132 p.
Source: Dissertation Abstracts International, Volume: 78-08(E), Section: B.
Thesis (Ph.D.)--North Carolina State University, 2016.
We consider portfolio optimization models of the Merton's type over finite and infinite time horizons. Unlike the classical Markov model, we study systems with delays. We consider both finite and infinite delay/memory models. The problem is formulated as a stochastic control problem and the state evolves according to a process governed by a stochastic process with delay. The goal is to choose investment and consumption controls such that the total expected discounted utility is maximized. Under certain conditions, in each model, we derive the optimal controls and explicit solutions for the associated Hamilton-Jacobi-Bellman (HJB) equations in a finite dimensional space for logarithmic, exponential and HARA utility functions. For each model, verification theorems are established to ensure that the solution obtained from HJB equation is equal to the value function.
ISBN: 9781369619799Subjects--Topical Terms:
547123
Operations research.
Some Optimization Problems for Stochastic Systems with Memory.
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We consider portfolio optimization models of the Merton's type over finite and infinite time horizons. Unlike the classical Markov model, we study systems with delays. We consider both finite and infinite delay/memory models. The problem is formulated as a stochastic control problem and the state evolves according to a process governed by a stochastic process with delay. The goal is to choose investment and consumption controls such that the total expected discounted utility is maximized. Under certain conditions, in each model, we derive the optimal controls and explicit solutions for the associated Hamilton-Jacobi-Bellman (HJB) equations in a finite dimensional space for logarithmic, exponential and HARA utility functions. For each model, verification theorems are established to ensure that the solution obtained from HJB equation is equal to the value function.
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