Search for dissertations about: "optimal switching"

Showing result 1 - 5 of 63 swedish dissertations containing the words optimal switching.

2. 1. Optimal Switching Problems and Related Equations

   Author : Marcus Olofsson; Kaj Nyström; Saïd Hamadène; Uppsala universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; optimal switching; stochastic control; variational inequalities; backward stochastic differential equations; incomplete information; stochastic filtering; Mathematics; Matematik;

   Abstract : This thesis consists of five scientific papers dealing with equations related to the optimal switching problem, mainly backward stochastic differential equations and variational inequalities. Besides the scientific papers, the thesis contains an introduction to the optimal switching problem and a brief outline of possible topics for future research. READ MORE

4. 2. A Probabilistic Approach to Non-Markovian Impulse Control

   Author : Johan Jönsson; Magnus Perninge; Säid Hamadène; Linnéuniversitetet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Stochastic optimal control; optimal stopping; optimal switching; impulse control; Snell envelope; obstacle problems; partial differential equation; Matematik; Mathematics;

   Abstract : This thesis treats mathematical considerations that arise in relation to certain stochastic optimal control problems, in particular of switching and impulse type. Both of these problems are extensions of the well-known optimal stopping problem. READ MORE

5. 3. Optimal Sequential Decisions in Hidden-State Models

   Author : Juozas Vaicenavicius; Erik Ekström; Huyên Pham; Uppsala universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; sequential analysis; optimal stopping; optimal liquidation; drift uncertainty; incomplete information; stochastic filtering;

   Abstract : This doctoral thesis consists of five research articles on the general topic of optimal decision making under uncertainty in a Bayesian framework. The papers are preceded by three introductory chapters.Papers I and II are dedicated to the problem of finding an optimal stopping strategy to liquidate an asset with unknown drift. READ MORE

6. 4. Some aspects of optimal switching and pricing Bermudan options

   Author : Ali Hamdi; Boualem Djehiche; Henrik Hult; Luis Alvarez; KTH; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES;

   Abstract : This thesis consists of four papers that are all related to the Snell envelope. In the first paper, the Snell envelope is used as a formulation of a two-modes optimal switching problem. The obstacles are interconnected, take both profit and cost yields into account, and switching is based on both sides of the balance sheet. READ MORE

7. 5. Semi-Markov Models for Insurance and Option Rewards

   Author : Fredrik Stenberg; Dmitrii Silvestrov; Kimmo Eriksson; Nikolaos Limnios; Mälardalens högskola; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; semi-Markov process; discrete time; insurance; actuarial; higher order reward; disability; variance; skewness; kurtosis; reward process; stochastic volatility; controlling semi-Markov process; Monte Carlo algorithm; convergence; optimal stopping; skeleton approximation; regime switching; semi-Markov modulated; European option; American option; Lévy process.; MATHEMATICS; MATEMATIK; Matematik tillämpad matematik;

   Abstract : This thesis presents studies of semi-Markov models for insurance and option rewards. The thesis consists of the introduction and six papers. The introduction presents the results of the thesis in an informal way.In paper A, a general semi-Markov reward model is presented. READ MORE