On a Stochastic Fundamental Lemma and Its Use for Data-Driven Optimal Control

Quantitative Determination Of Optimal Fiscal And Monetary Policies: A Stochastic Optimal Control Analysis For Iran

Optimal data structures for stochastic driven simulations

Simulations where we have some prior information on the probability distribution of possible outcomes are common in many fields of science (physics, chemistry, biochemistry, etc). Optimal data structures that allow dynamic updates without regenerating the whole structure are crucial for both efficient and accurate results, especially at large scale. In this paper, we describe three different me...

a benchmarking approach to optimal asset allocation for insurers and pension funds

uncertainty in the financial market will be driven by underlying brownian motions, while the assets are assumed to be general stochastic processes adapted to the filtration of the brownian motions. the goal of this study is to calculate the accumulated wealth in order to optimize the expected terminal value using a suitable utility function. this thesis introduced the lim-wong’s benchmark fun...

Data-Driven Optimal Control for Adaptive Optics

quantitative determination of optimal fiscal and monetary policies: a stochastic optimal control analysis for iran