This work presents a study of finite-time horizon stochastic control problem with restrictions on both the reward and cost functions. To this end, it uses standard dynamic programming techniques, an extension classic Lagrange multipliers approach. The coefficients considered here are supposed to be unbounded, obtained strategies non-stationary closed-loop type. driving thread paper is sequence ...

In this article, a model under which the underlying asset follows Markov regime-switching process is considered. The economy partially observable in form of signal stochastically related to actual state economy. American option pricing problem formulated using decision (POMDP). Through three-state assumed with focus on threshold for early exercise, hold regions and its monotonicity. An extensiv...

In this paper a structured Markovian model is developed and adapted to allow it to describe common ATM traac properties and an investigation is carried out into the behaviour of this model under a range of diierent parameter conditions.

In this paper we restrict every set splitting problem to the special case in which every set has just three elements. This restricted version is also NP-complete. Then, we introduce a general conversion from any set splitting problem to 3-set splitting. Then we introduce a randomize algorithm, and we use Markov chain model for run time complexity analysis of this algorithm. In the last section ...