Stochastic Hybrid Systems of Financial and Economical Processess: Identificatied, Optimized and Controlled

Date

2013-12-31

Author

Weber, Gerhard Wilhelm
Yolcu Okur, Yeliz
Yerlikaya Özkurt, Fatma
Kuter, Semih
Özmen, Ayşe
Karimov, Azar

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This research project will scientifically broaden, deepen and apply a scientific unified approach of both identification and optimal control of Stochastic Differential Equations with Jumps (SHSJs), motivated by and foreseen for purposes of financial mathematics and actuarial sciences. SHSJs and further structured and detailed models are in the scope of our framework, and special interests pursued consisted in a. refinement of Parameter Estimation for SDEs and b. Portfolio Optimization and, as a future extension,c. selected aspects of option pricing, e.g., (hitting- or stopping-) Time Maximal Stochastic Control.Our project used and further enriched and refined methods from Stochastic Calculus, Continuous (Conic) Optimization and of Inverse Problems Theory for compromised goals of accurate / optimized and regularized / risk-controlled modeling of financial process, and their programming and optimal control. This serves to provide solutions to challenges from the financial practice of the micro and macro economical level, and to enrich and develop the fine analytical techniques of finanical mathematics, for the people of Turkey and the world. In fact, optimal control is one of the popular techniques used for solving discrete-continuous time (hybrid) portfolio optimization problems. Our optimal control techniques include a powerful recursive algorithm that selects the optimal policy for the current state on an optimized path of future policies.

Subject Keywords

Matematik

URI

https://hdl.handle.net/11511/61683

Collections

Graduate School of Applied Mathematics, Project and Design

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Citation Formats

G. W. Weber, Y. Yolcu Okur, F. Yerlikaya Özkurt, S. Kuter, A. Özmen, and A. Karimov, “Stochastic Hybrid Systems of Financial and Economical Processess: Identificatied, Optimized and Controlled,” 2013. Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/61683.