A multilevel approach for stochastic nonlinear optimal control

a benchmarking approach to optimal asset allocation for insurers and pension funds

uncertainty in the financial market will be driven by underlying brownian motions, while the assets are assumed to be general stochastic processes adapted to the filtration of the brownian motions. the goal of this study is to calculate the accumulated wealth in order to optimize the expected terminal value using a suitable utility function. this thesis introduced the lim-wong’s benchmark fun...

Computational Method for Nonlinear Stochastic Optimal Control

Nonlinear stochastic optimal control problems are treated that are nonlinear in the state dynamics, but are linear in the control. The cost functional is a general function of the state, but the costs are quadratic in the control. The system is subject random fluctuations due to discontinuous Poisson noise that depends on both the state and control, as well as due to discontinuous Gaussian nois...

Higher Order Statistical Approach to Nonlinear Stochastic Optimal Control Problem

This paper presents the formulation of an optimal control methodology for nonlinear stochastic systems, where the control objective is to obtain a feedback law that would minimizes the higher order statistics associated with the traditional integral quadratic cost. The two part control scheme proposed here consist of approximating the probability density function associated with the nonlinear p...

Quantitative Determination Of Optimal Fiscal And Monetary Policies: A Stochastic Optimal Control Analysis For Iran

A Stochastic Optimal Control Strategy for Partially Observable Nonlinear Systems

A stochastic optimal control strategy for partially observable nonlinear systems is proposed. The optimal control force consists of two parts. The first part is determined by the conditions under which the stochastic optimal control problem of a partially observable nonlinear system is converted into that of a completely observable linear system. The second part is determined by solving the dyn...