Titlebook: Mathematical Control Theory and Finance; Andrey Sarychev,Albert Shiryaev,Maria do Rosário G Book 2008 Springer-Verlag Berlin Heidelberg 20

江湖郎中

Observability of Nonlinear Control Systems on Time Scales - Sufficient Conditions,nerated by this operator distinguishes states that are distinguishable. The proved sufficient condition for observability is classical, but it works not only for continuous-time case but also for the other models of time.

jettison

Nonholonomic Interpolation for Kinematic Problems, Entropy and Complexity, “entropy” of the problem. This estimation of metric complexity provides methods for . of nonadmissible paths by admissible ones, while the estimation of entropy provides methods for . of the nonadmissible path by admissible.

Albumin

Laplace Transforms and the American Call Option,or the location of the optimal exercise boundary, which is the main result of this paper..The integral equation differs depending on whether the dividend yield is less than or exceeds the risk-free rate.

無(wú)法治愈

Time Change, Volatility, and Turbulence,l case of backward moving average processes driven by Brownian motion. In this framework, a review is given of some recent modelling of turbulent velocities and associated questions of time change and universality. A discussion of similarities and differences to the dynamics of financial price processes is included.

chapel

Existence and Lipschitzian Regularity for Relaxed Minimizers, problems of optimal control (Theorem 1); to derive conditions for Lipschitzian regularity of trajectories corresponding to relaxed minimizers (Theorem 3). In passing, elaborating on the approach used in [10], we provide a condition for Lipschitzian regularity of non relaxed minimizers (Theorem 2).

debase

An Approximate Solution for Optimal Portfolio in Incomplete Markets,an approximate solution for the optimal portfolio. We take into account a set of assets and a set of state variables, all of them described by general diffusion processes. Finally, we supply an easy test for checking the goodness of the approximate result.

有特色

Sufficient Optimality Conditions for a Bang-bang Trajectory in a Bolza Problem,ditions are the natural generalizations of the ones considered in [4, 11] and [12]. We require both the ., a non degeneracy condition at multiple switching times, and the second order conditions for the finite dimensional problems obtained by moving the switching times of the reference trajectory.

用肘

https://doi.org/10.1007/978-3-540-69532-5Deterministic Control; Finance; Interpolation; Stochastic Control; calculus; entropy; incomplete markets; m

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冷淡周邊

Higher-Order Calculus of Variations on Time Scales,We prove a version of the Euler-Lagrange equations for certain problems of the calculus of variations on time scales with higher-order delta derivatives.