Stochastic differential equations (SDEs) have become indispensable in the modelling of financial markets, where random fluctuations and uncertainties prevail. Their role in capturing the dynamic ...
Stochastic optimal control combined with partial differential equations (PDEs) represents a robust framework for managing systems influenced by inherent uncertainties and spatial-temporal dynamics.
The achievable region approach seeks solutions to stochastic optimization problems by characterizing the space of all possible performances (the achievable region) of the system of interest and ...
Merton, Robert C. "Analytical Optimal Control Theory as Applied to Stochastic and Non-Stochastic Economics." Diss., Massachusetts Institute of Technology (MIT), 1970.
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