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Methods of stochastic control with applications

2016/23/B/ST1/00479

Keywords

Descriptors

  • ST1_17: Teoria sterowania i optymalizacja
  • ST1_13: Rachunek prawdopodobieństwa i statystyka matematyczna
  • ST1_18: Zastosowania matematyki w innych naukach

Panel

ST1 – Mathematics: all areas of mathematics, pure and applied, as well as mathematical foundations of computer science, physics and statistics

Host institution

Instytut Matematyczny Polskiej Akademii Nauk

Voivodeship: mazowieckie

Other projects carried out by the institution »

Principal investigator (from the host institution)

prof. Łukasz Stettner

Number of co-investigators in the project: 3

Call

OPUS 12 – announced on 2016-09-15

Amount awarded
280 400 PLN
Project start date
2017-06-27
Project end date
2021-10-26
Project duration
52 months (the same as in the proposal)
Project status
Project settled

Project description

Download the project description in a pdf file

Note — project descriptions were prepared by the authors of the applications themselves and placed in the system in an unchanged form.

Equipment purchased [PL]

  1. duży monitor. Cost: 1 500 PLN
  2. laptop z rozszerzoną pamiecia operacyjną i twardym dyskiem. Cost: 8 000 PLN
  3. oprogramowanie Microsoft Office i Winzip. Cost: 500 PLN

Information in the final report

Publication in academic press/journals (12)

  1. Risk sensitive optimal stopping

    Authors:
    D. Jelito, M. Pitera, Ł. Stettner
    Academic press:
    Stochastic Proc. Appl. (year: 2021, volume: 136, pages: 125-144), Publisher: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.spa.2021.03.005 – link to the publication

  2. Fair estimation of capital risk allocation

    Authors:
    Tomasz R. Bielecki, Igor Cialenco, Marcin Pitera and Thorsten Schmidt
    Academic press:
    Statistics and Risk Modeling (year: 2020, volume: 37, pages: 46046), Publisher: De Gruyter
    Status:
    Published
    DOI:
    10.1515/strm-2019-0011 – link to the publication

  3. Optimal Strategies for Utility from Terminal Wealth with General Bid and Ask Prices

    Authors:
    T. Rogala L. Stettner
    Academic press:
    Applied Mathematics & Optimization (year: 2021, volume: 83, pages: 405–-436), Publisher: Springer
    Status:
    Published
    DOI:
    10.1007/s00245-018-9550-5 – link to the publication

  4. Long-Run risk sensitive impulse control

    Authors:
    D. Jelito, M. Pitera, Ł. Stettner
    Academic press:
    SIAM J. Control Optim. (year: 2020, volume: 58 (4), pages: 2446--2468), Publisher: SIAM
    Status:
    Published
    DOI:
    10.1137/19M1305355 – link to the publication

  5. Unbiased estimation of risk

    Authors:
    M. Pitera T. Schmidt
    Academic press:
    Journal of Banking and Finance (year: 2018, volume: 91, pages: 133-145), Publisher: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.jbankfin.2018.04.016 – link to the publication

  6. Zero-sum Markov Games with Impulse Controls

    Authors:
    A. Basu, L. Stettner
    Academic press:
    SIAM J. Control Optim. (year: 2020, volume: 58, pages: 580-604), Publisher: SIAM
    Status:
    Published
    DOI:
    10.1137/18M1229365 – link to the publication

  7. Bellman equations for scalar linear convex stochastic control problems

    Authors:
    T. Duncan, B. Pasik Duncan, L. Stettner
    Academic press:
    Banach Center Publications (year: 2020, volume: 122, pages: 77-92), Publisher: IM PAN
    Status:
    Published
    DOI:
    10.4064/bc122-5 – link to the publication

  8. NEW FAT-TAIL NORMALITY TEST BASED ON CONDITIONAL SECOND MOMENTS WITH APPLICATIONS TO FINANCE

    Authors:
    D. Jelito, M. Pitera
    Academic press:
    Statistical papers (year: 2021, volume: 62, pages: 2083-2108.), Publisher: Springer
    Status:
    Published
    DOI:
    10.1007/s00362-020-01176-2 – link to the publication

  9. Long-run risk sensitive dyadic impulse control,

    Authors:
    M. Pitera, Ł. Stettner
    Academic press:
    Applied Mathematics & Optimization (year: 2021, volume: 84, pages: 19–47), Publisher: Springer
    Status:
    Published
    DOI:
    10.1007/s00245-019-09631-9 – link to the publication

  10. Long run control of Markov processes with degenerate observation

    Authors:
    Ł. Stettner
    Academic press:
    SIAM J. Control Optim. (year: 2019, volume: 57, pages: 880-899), Publisher: SIAM
    Status:
    Published
    DOI:
    10.1137/18M1196844 – link to the publication

  11. Backtesting Expected Shortfall: a simple recipe?

    Authors:
    F. Moldenhauer, M. Pitera
    Academic press:
    Journal of Risk (year: 2019, volume: 22, pages: 17-42), Publisher: Risk Net
    Status:
    Published
    DOI:
    10.21314/JOR.2019.418 – link to the publication

  12. STABILITY OF MEASURE SOLUTIONS TO A GENERALIZED BOLTZMANN EQUATION WITH COLLISIONS OF A RANDOM NUMBER OF PARTICLES

    Authors:
    H. Gacki, Ł. Stettner
    Status:
    Accepted for publication

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