Dynamic programming for semi-Markov modulated SDEs

dc.contributor.authorAzevedo, Nuno
dc.contributor.authorPinheiro, D.
dc.contributor.authorPinheiro, S.
dc.date.accessioned2022-05-16T15:55:53Z
dc.date.available2022-05-16T15:55:53Z
dc.date.issued2020-11-03
dc.description.abstractWe consider a stochastic optimal control problem with state variable dynamics described by a stochastic differential equation of diffusive type modulated by a semi-Markov process with a finite state space. The time horizon is both deterministic and finite. Within such setup, we provide a detailed proof of the dynamic programming principle and use it to characterize the value function as a viscosity solution of the corresponding Hamilton-Jacobi-Bellman equation. We illustrate our results with an application to Mathematical Finance: the generalization of Merton's optimal consumption-investment problem to financial markets with semi-Markov switching.pt_PT
dc.identifier.citationAzevedo, N., Pinheiro, D., & Pinheiro, S. (2020). Dynamic programming for semi-Markov modulated SDEs. Optimization: A Journal of Mathematical Programming and Operations Research, (publicado online em 03 novembro 2020). https://doi.org/10.1080/02331934.2020.1839072. Repositório Institucional UPT. http://hdl.handle.net/11328/4110pt_PT
dc.identifier.doihttps://doi.org/10.1080/02331934.2020.1839072pt_PT
dc.identifier.issn0233-1934 (Print)
dc.identifier.issn1029-4945 (Electronic)
dc.identifier.urihttp://hdl.handle.net/11328/4110
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherTaylor & Francis Onlinept_PT
dc.rightsrestricted accesspt_PT
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/pt_PT
dc.subjectStochastic optimal controlpt_PT
dc.subjectDynamic programmingpt_PT
dc.subjectSemi-Markov processespt_PT
dc.titleDynamic programming for semi-Markov modulated SDEspt_PT
dc.typejournal articlept_PT
degois.publication.firstPage1pt_PT
degois.publication.lastPage28pt_PT
degois.publication.titleOptimization: A Journal of Mathematical Programming and Operations Researchpt_PT
dspace.entity.typePublicationen
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