30 research outputs found
Optimality necessary conditions in singular stochastic control problems with nonsmooth data
AbstractThe present paper studies the stochastic maximum principle in singular optimal control, where the state is governed by a stochastic differential equation with nonsmooth coefficients, allowing both classical control and singular control. The proof of the main result is based on the approximation of the initial problem, by a sequence of control problems with smooth coefficients. We, then apply Ekeland's variational principle for this approximating sequence of control problems, in order to establish necessary conditions satisfied by a sequence of near optimal controls. Finally, we prove the convergence of the scheme, using Krylov's inequality in the nondegenerate case and the Bouleau–Hirsch flow property in the degenerate one. The adjoint process obtained is given by means of distributional derivatives of the coefficients
Optimal Multi-Modes Switching Problem in Infinite Horizon
This paper studies the problem of the deterministic version of the
Verification Theorem for the optimal m-states switching in infinite horizon
under Markovian framework with arbitrary switching cost functions. The problem
is formulated as an extended impulse control problem and solved by means of
probabilistic tools such as the Snell envelop of processes and reflected
backward stochastic differential equations. A viscosity solutions approach is
employed to carry out a finne analysis on the associated system of m
variational inequalities with inter-connected obstacles. We show that the
vector of value functions of the optimal problem is the unique viscosity
solution to the system. This problem is in relation with the valuation of firms
in a financial market
Comment on "Why quantum mechanics cannot be formulated as a Markov process"
In the paper with the above title, D. T. Gillespie [Phys. Rev. A 49, 1607,
(1994)] claims that the theory of Markov stochastic processes cannot provide an
adequate mathematical framework for quantum mechanics. In conjunction with the
specific quantum dynamics considered there, we give a general analysis of the
associated dichotomic jump processes. If we assume that Gillespie's
"measurement probabilities" \it are \rm the transition probabilities of a
stochastic process, then the process must have an invariant (time independent)
probability measure. Alternatively, if we demand the probability measure of the
process to follow the quantally implemented (via the Born statistical
postulate) evolution, then we arrive at the jump process which \it can \rm be
interpreted as a Markov process if restricted to a suitable duration time.
However, there is no corresponding Markov process consistent with the
event space assumption, if we require its existence for all times .Comment: Latex file, resubm. to Phys. Rev.
Swing Options Valuation: a BSDE with Constrained Jumps Approach
We introduce a new probabilistic method for solving a class of impulse
control problems based on their representations as Backward Stochastic
Differential Equations (BSDEs for short) with constrained jumps. As an example,
our method is used for pricing Swing options. We deal with the jump constraint
by a penalization procedure and apply a discrete-time backward scheme to the
resulting penalized BSDE with jumps. We study the convergence of this numerical
method, with respect to the main approximation parameters: the jump intensity
, the penalization parameter and the time step. In particular,
we obtain a convergence rate of the error due to penalization of order
. Combining this approach with Monte Carlo techniques, we
then work out the valuation problem of (normalized) Swing options in the Black
and Scholes framework. We present numerical tests and compare our results with
a classical iteration method.Comment: 6 figure
Viscosity solutions of systems of PDEs with interconnected obstacles and Multi modes switching problems
This paper deals with existence and uniqueness, in viscosity sense, of a
solution for a system of m variational partial differential inequalities with
inter-connected obstacles. A particular case of this system is the
deterministic version of the Verification Theorem of the Markovian optimal
m-states switching problem. The switching cost functions are arbitrary. This
problem is connected with the valuation of a power plant in the energy market.
The main tool is the notion of systems of reflected BSDEs with oblique
reflection.Comment: 36 page
Large deviations for a damped telegraph process
In this paper we consider a slight generalization of the damped telegraph
process in Di Crescenzo and Martinucci (2010). We prove a large deviation
principle for this process and an asymptotic result for its level crossing
probabilities (as the level goes to infinity). Finally we compare our results
with the analogous well-known results for the standard telegraph process
Risk-Sensitive Mean-Field Type Control under Partial Observation
We establish a stochastic maximum principle (SMP) for control problems of
partially observed diffusions of mean-field type with risk-sensitive
performance functionals.Comment: arXiv admin note: text overlap with arXiv:1404.144