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This paper develops stochastic receding horizon control for a constrained index tracking problem. By modeling the asset dynamics in the problems as a linear system subject to state and control multiplicative noise, and approximating linear chance constraints with quadratic expectation...
This report summarizes some of our recent work (Guo and Tomecek, SIAM J Control Optim 47(1):421–443, 2008; A class of singular control problems and smooth fit principle, 2008) on a new theoretical connection between singular control of finite variation and optimal switching problems. This...
A model of rational mortgage refinancing is developed where the drift and volatility of interest rate process switch between two regimes. Because of the possibility of a regime shift, the optimal refinancing policy is characterized by the different threshold of interest differential for each...
Wind power energy has been paid much attention recently for various reasons, and the production of electricity with wind energy has been increasing rapidly for a few decades. One of the most difficult issues for using wind power in practice is that the power output largely depends on the wind...
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