Stochastic Optimal Control for Estuarine Management

2018 ◽  
pp. 331-364
Author(s):  
Larry W. Mays
2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Khalid Oufdil

Abstract In this paper, we study one-dimensional backward stochastic differential equations under logarithmic growth in the 𝑧-variable ( | z | ⁢ | ln ⁡ | z | | ) (\lvert z\rvert\sqrt{\lvert\ln\lvert z\rvert\rvert}) . We show the existence and the uniqueness of the solution when the noise is driven by a Brownian motion and an independent Poisson random measure. In addition, we highlight the connection of such BSDEs with stochastic optimal control problem, where we show the existence of an optimal strategy for the control problem.


2011 ◽  
Vol 62 (3) ◽  
Author(s):  
Jerome L. Stein

SummaryThe financial crisis was precipitated by the mortgage crisis. A whole structure of financial derivatives was based upon the ultimate debtors, the mortgagors. Insofar as the mortgagors were unable to service their debts, the values of the derivatives fell. The financial intermediaries whose assets and liabilities were based upon the value of derivatives were very highly leveraged. Changes in the values of their net worth were large multiples of changes in asset values. A cascade was precipitated by the mortgage defaults. In this manner, the mortgage debt crisis turned into a financial crisis. The crucial variable is the optimal debt of the real estate sector, which depends upon the capital gain and the interest rate. I apply the Stochastic Optimal Control (SOC) analysis to derive the optimal debt. Two models of the stochastic process on the capital gain and interest rate are presented. Each implies a different value of the optimal debt/net worth. I derive an upper bound of the optimal debt ratio, based upon the alternative models. An empirical measure of the excess debt: actual less the upper bound of the optimal ratio, is shown to be an early warning signal (EWS) of the debt crisis.


Automatica ◽  
2006 ◽  
Vol 42 (8) ◽  
pp. 1395-1406 ◽  
Author(s):  
Janine Mukuddem-Petersen ◽  
Mark A. Petersen

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