Stochastic optimal control has become a critical framework for addressing decision-making problems under uncertainty, especially in the context of financial market models. By combining probabilistic ...

Merton, Robert C. "Analytical Optimal Control Theory as Applied to Stochastic and Non-Stochastic Economics." Diss., Massachusetts Institute of Technology (MIT), 1970.

Abstract: Model predictive control (MPC) has attracted considerable interest for its ability to generate optimal control strategies, yet its application to nonlinear systems is often constrained by ...

Stochastic control problems in finance often involve complex controls at discrete times. As a result, numerically solving such problems using, for example, methods based on partial differential or ...

The Annals of Applied Probability, Vol. 28, No. 1 (February 2018), pp. 1-34 (34 pages) In this paper, we aim to develop the stochastic control theory of branching diffusion processes where both the ...

Abstract: This article addresses the problem of wake steering control for wind farms that explicitly consider the tradeoff between farm-level power generation and yaw duty cycle under variable and ...