Sökning: "Stochastic Maximum Principle"

Visar resultat 1 - 5 av 12 avhandlingar innehållade orden Stochastic Maximum Principle.

  1. 1. Contributions to the Stochastic Maximum Principle

    Författare :Daniel Andersson; Boualem Djehiche; Fred Espen Benth; KTH; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematical statistics; Matematisk statistik;

    Sammanfattning : This thesis consists of four papers treating the maximum principle for stochastic control problems. In the first paper we study the optimal control of a class of stochastic differential equations (SDEs) of mean-field type, where the coefficients are allowed to depend on the law of the process. LÄS MER

  3. 2. Topics in the mean-field type approach to pedestrian crowd modeling and conventions

    Författare :Alexander Aurell; Boualem Djehiche; Xiaoming Hu; Roland Malhamé; KTH; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; pedestrian crowds; stochastic differential equations; mean field; stochastic control; games; backward dynamics; sticky boundary; stochastic maximum principle; social conventions; folkmassor; stokastiska differentialekvationer; medelfält; stokastisk styrning; limaktiga randvillkor; stokastiska maximumprincipen; dynamik med ändvillkor; spel; konventioner;

    Sammanfattning : This thesis consists of five appended papers, primarily addressingtopics in pedestrian crowd modeling and the formation of conventions.The first paper generalizes a pedestrian crowd model for competingsubcrowds to include nonlocal interactions and an arbitrary (butfinite) number of subcrowds. LÄS MER

  4. 3. Aspects of Waiting and Contracting in Game Theory

    Författare :Peter Helgesson; Göteborgs universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Game Theory; War of Attrition; ESS; N-Player; Principal-Agent Problem; Stochastic Maximum Principle; Pontryagin’s Maximum Principle; Mean- Variance; Time Inconsistent Utility Functions; Game Theory;

    Sammanfattning : The topic of this thesis concerns two selected problem in game theory; the Nplayer War of Attrition and the Principal-Agent problem. The War of Attrition is a well established game theoretic model that was first introduced in the 2-player case by John Maynard Smith. LÄS MER

  5. 4. Optimal Switching Problems and Related Equations

    Författare :Marcus Olofsson; Kaj Nyström; Saïd Hamadène; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; optimal switching; stochastic control; variational inequalities; backward stochastic differential equations; incomplete information; stochastic filtering; Mathematics; Matematik;

    Sammanfattning : This thesis consists of five scientific papers dealing with equations related to the optimal switching problem, mainly backward stochastic differential equations and variational inequalities. Besides the scientific papers, the thesis contains an introduction to the optimal switching problem and a brief outline of possible topics for future research. LÄS MER

  7. 5. Necessary Optimality Conditions for Two Stochastic Control Problems

    Författare :Daniel Andersson; Boualem Djehiche; Tomas Björk; KTH; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematical statistics; Matematisk statistik;

    Sammanfattning : This thesis consists of two papers concerning necessary conditions in stochastic control problems. In the first paper, we study the problem of controlling a linear stochastic differential equation (SDE) where the coefficients are random and not necessarily bounded. We consider relaxed control processes, i.e. LÄS MER