A Finance Perspective to Risk-Sensitive Optimal Control with Regime Switching and Applications

Simple item page
dc.contributor.advisorKemajou-Brown, Isabelle
dc.contributor.advisorN'Guerekata, Gaston M.
dc.contributor.advisorXie, Xuming
dc.contributor.advisorZiyadi, Najat
dc.contributor.authorTeutu Talla, Serges Love
dc.contributor.departmentMathematicsen_US
dc.contributor.programMaster of Artsen_US
dc.date.accessioned2020-04-10T13:51:28Z
dc.date.available2020-04-10T13:51:28Z
dc.date.issued2019-10-18
dc.description.abstractIn this work, we briefly review the literature on stochastic optimization problems using the Pontryagin Maximum Principle. Then, we investigate the procedure for solving a risk-sensitivity stochastic maximum principle problem with regime-switching. Finally, we provide an application in finance.en_US
dc.genrethesesen_US
dc.identifierdoi:10.13016/m22ktp-rkpz
dc.identifier.urihttp://hdl.handle.net/11603/17939
dc.language.isoen_USen_US
dc.relation.isAvailableAtMorgan State University
dc.subjectMathematicsen_US
dc.titleA Finance Perspective to Risk-Sensitive Optimal Control with Regime Switching and Applicationsen_US
dc.typeTexten_US

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
Talla_2019.pdf
Size:
431.82 KB
Format:
Adobe Portable Document Format
Description:
Download
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.71 KB
Format:
Item-specific license agreed upon to submission
Description:
Download

Collections

MSU Student Research Collection


Growing the Future, Leading the World!

If you wish to submit a copyright complaint or withdrawal request, please email mdsoar-help@umd.edu.