Optimal Regional Investment Control Using Hallmark Event
نویسندگان
چکیده
منابع مشابه
Optimal investment and consumption with event risk
This paper concerns the problem of optimal investment and consumption with power utility when there is event risk. Events are modelled by transitions in a finite state Markov chain, but unlike traditional regime switching models, changes in regime (i.e. events) may be accompanied by jumps in the asset price at the instant of transition, where the distribution of the jump sizes are conditional o...
متن کاملOptimal Discrete Event Supervisory Control
This report presents an application of the recently developed theory of optimal Discrete Event Supervisory (DES) control that is based on a signed real measure of regular languages. The DES control techniques are validated on an aircraft gas turbine engine simulation test bed. The test bed is implemented on a networked computer system in which two computers operate in the client-server mode. Se...
متن کاملOptimal Event-triggered Control under Costly Observations
Digital control design is commonly constrained to time-triggered control systems with equidistant sampling intervals. The emergence of more and more complex and distributed systems urges the development of advanced triggering schemes that utilize computational and communication resources efficiently. This paper considers a linear stochastic continuous-time setting, where the design objective is...
متن کاملModeling of investment attractiveness of countries using entropy analysis of regional stock markets
The current study focuses on the problem of determining investment attrаctiveness of countries by means of monitoring regional stock markets. The method of using the permutation entropy as a model of investment attractiveness estimation is suggested. We have calculated the permutation entropy for the time series of stock markets of countries for the period from 2005 to 2018. The countries with ...
متن کاملRisk Sensitive Control and an Optimal Investment Model (ii)
We consider an optimal investment problem proposed by Bielecki and Pliska. The goal of the investment problem is to optimize the long term growth of expected utility of wealth. We consider HARA utility functions with exponent −∞ < γ < 1. The problem can be reformulated as an infinite time horizon risk sensitive control problem. Some useful ideas and results from the theory of risk sensitive con...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: INFRASTRUCTURE PLANNING REVIEW
سال: 1990
ISSN: 0913-4034,1884-8303
DOI: 10.2208/journalip.8.273