Stochastic optimal control of jumping Markov parameter processes with applications to finance.

Detalhes bibliográficos
Ano de defesa: 2002
Autor(a) principal: Daniel Oliveira Cajueiro
Orientador(a): Não Informado pela instituição
Banca de defesa: Não Informado pela instituição
Tipo de documento: Tese
Tipo de acesso: Acesso aberto
Idioma: eng
Instituição de defesa: Instituto Tecnológico de Aeronáutica
Programa de Pós-Graduação: Não Informado pela instituição
Departamento: Não Informado pela instituição
País: Não Informado pela instituição
Palavras-chave em Português:
Controle óptimo
Processos estocásticos
Mercado financeiro
Processos de Markov
Finanças
Estimação de sistemas
Teoria de controle
Microeconomia
Controle
Link de acesso: http://www.bd.bibl.ita.br/tde_busca/arquivo.php?codArquivo=2567
Resumo: This thesis is concerned with the study of the classical intertemporal continuous time optimal portfolio problem in the switching diffusion market and the problem of optimal control of the switching reserves of an insurance company. The switching diffusion market is a jumping Markov parameter diffusion market which has two independent sources of uncertainties: a Brownian motion and a continuous time Markov chain (CTMC). While the brownian motion intends to model the normal oscillations of the asset prices, the CTMC aims at modelling the abrupt changes that can occur in the parameters of the stock model. Although the problem considered in this thesis is not a linear one with quadratic cost, it is shown in this work that one can use techniques similar to that ones used to deal with the LQG problem with jumping parameters.
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spelling Stochastic optimal control of jumping Markov parameter processes with applications to finance.Controle óptimoProcessos estocásticosMercado financeiroProcessos de MarkovFinançasEstimação de sistemasTeoria de controleMicroeconomiaControleThis thesis is concerned with the study of the classical intertemporal continuous time optimal portfolio problem in the switching diffusion market and the problem of optimal control of the switching reserves of an insurance company. The switching diffusion market is a jumping Markov parameter diffusion market which has two independent sources of uncertainties: a Brownian motion and a continuous time Markov chain (CTMC). While the brownian motion intends to model the normal oscillations of the asset prices, the CTMC aims at modelling the abrupt changes that can occur in the parameters of the stock model. Although the problem considered in this thesis is not a linear one with quadratic cost, it is shown in this work that one can use techniques similar to that ones used to deal with the LQG problem with jumping parameters. Instituto Tecnológico de AeronáuticaTakashi YoneyamaDaniel Oliveira Cajueiro2002-00-00info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/doctoralThesishttp://www.bd.bibl.ita.br/tde_busca/arquivo.php?codArquivo=2567reponame:Biblioteca Digital de Teses e Dissertações do ITAinstname:Instituto Tecnológico de Aeronáuticainstacron:ITAenginfo:eu-repo/semantics/openAccessapplication/pdf2019-02-02T14:04:51Zoai:agregador.ibict.br.BDTD_ITA:oai:ita.br:2567http://oai.bdtd.ibict.br/requestopendoar:null2020-05-28 19:39:28.408Biblioteca Digital de Teses e Dissertações do ITA - Instituto Tecnológico de Aeronáuticatrue
dc.title.none.fl_str_mv Stochastic optimal control of jumping Markov parameter processes with applications to finance.
title Stochastic optimal control of jumping Markov parameter processes with applications to finance.
spellingShingle Stochastic optimal control of jumping Markov parameter processes with applications to finance.
Daniel Oliveira Cajueiro
Controle óptimo
Processos estocásticos
Mercado financeiro
Processos de Markov
Finanças
Estimação de sistemas
Teoria de controle
Microeconomia
Controle
title_short Stochastic optimal control of jumping Markov parameter processes with applications to finance.
title_full Stochastic optimal control of jumping Markov parameter processes with applications to finance.
title_fullStr Stochastic optimal control of jumping Markov parameter processes with applications to finance.
title_full_unstemmed Stochastic optimal control of jumping Markov parameter processes with applications to finance.
title_sort Stochastic optimal control of jumping Markov parameter processes with applications to finance.
author Daniel Oliveira Cajueiro
author_facet Daniel Oliveira Cajueiro
author_role author
dc.contributor.none.fl_str_mv Takashi Yoneyama
dc.contributor.author.fl_str_mv Daniel Oliveira Cajueiro
dc.subject.por.fl_str_mv Controle óptimo
Processos estocásticos
Mercado financeiro
Processos de Markov
Finanças
Estimação de sistemas
Teoria de controle
Microeconomia
Controle
topic Controle óptimo
Processos estocásticos
Mercado financeiro
Processos de Markov
Finanças
Estimação de sistemas
Teoria de controle
Microeconomia
Controle
dc.description.none.fl_txt_mv This thesis is concerned with the study of the classical intertemporal continuous time optimal portfolio problem in the switching diffusion market and the problem of optimal control of the switching reserves of an insurance company. The switching diffusion market is a jumping Markov parameter diffusion market which has two independent sources of uncertainties: a Brownian motion and a continuous time Markov chain (CTMC). While the brownian motion intends to model the normal oscillations of the asset prices, the CTMC aims at modelling the abrupt changes that can occur in the parameters of the stock model. Although the problem considered in this thesis is not a linear one with quadratic cost, it is shown in this work that one can use techniques similar to that ones used to deal with the LQG problem with jumping parameters.
description This thesis is concerned with the study of the classical intertemporal continuous time optimal portfolio problem in the switching diffusion market and the problem of optimal control of the switching reserves of an insurance company. The switching diffusion market is a jumping Markov parameter diffusion market which has two independent sources of uncertainties: a Brownian motion and a continuous time Markov chain (CTMC). While the brownian motion intends to model the normal oscillations of the asset prices, the CTMC aims at modelling the abrupt changes that can occur in the parameters of the stock model. Although the problem considered in this thesis is not a linear one with quadratic cost, it is shown in this work that one can use techniques similar to that ones used to deal with the LQG problem with jumping parameters.
publishDate 2002
dc.date.none.fl_str_mv 2002-00-00
dc.type.driver.fl_str_mv info:eu-repo/semantics/publishedVersion
info:eu-repo/semantics/doctoralThesis
status_str publishedVersion
format doctoralThesis
dc.identifier.uri.fl_str_mv http://www.bd.bibl.ita.br/tde_busca/arquivo.php?codArquivo=2567
url http://www.bd.bibl.ita.br/tde_busca/arquivo.php?codArquivo=2567
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Instituto Tecnológico de Aeronáutica
publisher.none.fl_str_mv Instituto Tecnológico de Aeronáutica
dc.source.none.fl_str_mv reponame:Biblioteca Digital de Teses e Dissertações do ITA
instname:Instituto Tecnológico de Aeronáutica
instacron:ITA
reponame_str Biblioteca Digital de Teses e Dissertações do ITA
collection Biblioteca Digital de Teses e Dissertações do ITA
instname_str Instituto Tecnológico de Aeronáutica
instacron_str ITA
institution ITA
repository.name.fl_str_mv Biblioteca Digital de Teses e Dissertações do ITA - Instituto Tecnológico de Aeronáutica
repository.mail.fl_str_mv
subject_por_txtF_mv Controle óptimo
Processos estocásticos
Mercado financeiro
Processos de Markov
Finanças
Estimação de sistemas
Teoria de controle
Microeconomia
Controle
_version_ 1706805000785625088

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