Optimal control problems with disorder

DOI10.1134/S0005117919080046MaRDI QIDQ2289032zbMATH OpenOpenAlexWikidataFDO

Authors Yanyan Li

Publication date 28 January 2020

Published in Automation and Remote Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s0005117919080046

zbMATH Keywords

martingalemartingale measureprocesses with disorderquantile hedgingvector disorderWiener process

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Financial markets (91G15) Computational methods for problems pertaining to biology (92-08) Optimal stochastic control (93E20)

Recommendations

• The general discrete time disorder problem
• Monte Carlo methods for adaptive disorder problems
• scientific article; zbMATH DE number 3965812
• Control in Binary Models with Disorder
• Stochastic disorder problems

Cites work

• scientific article; zbMATH DE number 1724306 (Why is no real title available?)
• The Wiener disorder problem with finite horizon

Cited in

(2)

• Monte Carlo methods for adaptive disorder problems
• Control in Binary Models with Disorder

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