Time‐average stochastic control based on a singular local Lévy model for environmental project planning under habit formation
From MaRDI portal
Publication:6143573
Recommendations
- Optimal sizing of the sediment replenishment capacity based on robust ergodic control of subordinator-driven dynamics
- Hamilton-Jacobi-Bellman-Isaacs equation for rational inattention in the long-run management of river environments under uncertainty
- HJB and Fokker-Planck equations for river environmental management based on stochastic impulse control with discrete and random observation
- A complete solution to a long-run sand augmentation problem under uncertainty
- A hybrid stochastic river environmental restoration modeling with discrete and costly observations
Cites work
- A dynamic programming approach to path-dependent constrained portfolios
- A uniform Tauberian theorem in optimal control
- Abel-type results for controlled piecewise deterministic Markov processes
- An introduction to continuous-time stochastic processes. Theory, models, and applications to finance, biology, and medicine
- Applied stochastic control of jump diffusions
- Convergence to equilibrium for time-inhomogeneous jump diffusions with state-dependent jump intensity
- Demand for non-life insurance under habit formation
- Dynkin games with Poisson random intervention times
- Effects of Positive Jumps of Assets on Endogenous Bankruptcy and Optimal Capital Structure: Continuous- and Periodic-Observation Models
- Ergodicity for multidimensional jump diffusions with position dependent jump rate
- Fluctuations of Lévy processes with applications. Introductory lectures
- Hamilton-Jacobi-Bellman-Isaacs equation for rational inattention in the long-run management of river environments under uncertainty
- Infinite horizon asymptotic average optimality for large-scale parallel server networks
- Intertemporal optimal portfolio choice based on labor income within shadow costs of incomplete information and short sales
- LP based upper and lower bounds for Cesàro and Abel limits of the optimal values in problems of control of stochastic discrete time systems
- Linear programming formulation of long-run average optimal control problem
- McKean-Vlasov Ito-Skorohod equations, and nonlinear diffusions with discrete jump sets
- Multi-stencils fast marching method for factored eikonal equations with quadratic anisotropy
- Numerical approach for stochastic differential equations of fragmentation; application to avalanches
- Numerical simulation of the dynamics of sedimentary river beds with a stochastic Exner equation
- On necessary optimality conditions and exact penalization for a constrained fractional optimal control problem
- On the Taylor expansion of value functions
- On the diversity of growth patterns with habit formation
- Optimal consumption with reference to past spending maximum
- Optimal ergodic harvesting under ambiguity
- Optimization of traffic control in \(MMAP[2]/PH[2]/S\) priority queueing model with \(PH\) retrial times and the preemptive repeat policy
- Optimizing noisy complex systems liable to failure
- Pricing American drawdown options under Markov models
- Pricing approximations and error estimates for local Lévy-type models with default
- Robust consumption and portfolio choice with derivatives trading
- Short communication: A note on utility indifference pricing with delayed information
- Shortfall aversion
- Some control problems with random intervention times
- Stochastic impulse control of nonsmooth dynamics with partial observation and execution delay: application to an environmental restoration problem
- Structure of intergenerational risk-sharing plans: optimality and fairness
- The effects of random and seasonal environmental fluctuations on optimal harvesting and stocking
- Time-average control of martingale problems: the hamilton-jacobi-bellman equation
- Utility maximization with habit formation of interaction
This page was built for publication: Time‐average stochastic control based on a singular local Lévy model for environmental project planning under habit formation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6143573)