Applications of Stochastic Optimal Control to Economics and Finance

• Autres auteurs: Federico, Salvatore (Éditeur intellectuel), Ferrari, Giorgio (Éditeur intellectuel), Regis, Luca (Éditeur intellectuel)
• Format: Électronique Chapitre de livre
• Langue: anglais
• Publié: Basel, Switzerland MDPI - Multidisciplinary Digital Publishing Institute 2020
• Sujets: Economics, finance, business & management; debt crisis; government debt management; optimal government debt ceiling; government debt ratio; stochastic control; decision analysis; risk management; Bayesian learning; Markowitz problem; optimal portfolio; portfolio selection; Markov additive processes; Markov regime switching market; Markovian jump securities; asymptotic arbitrage; complete market; multiple optimal stopping; general diffusion; real option analysis; energy imbalance market; optimal reinsurance; excess-of-loss reinsurance; Hamilton-Jacobi-Bellman equation; stochastic factor model; American options; least square method; derivatives pricing; binomial tree; stochastic interest rates; quadrinomial tree; insurance; unemployment; optimal stopping; geometric Brownian motion; martingale; free boundary problem; American call option; utility
• Accès en ligne: DOAB: download the publication; DOAB: description of the publication

In a world dominated by uncertainty, modeling and understanding the optimal behavior of agents is of the utmost importance. Many problems in economics, finance, and actuarial science naturally require decision makers to undertake choices in stochastic environments. Examples include optimal individua...