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Analysis of asymptotical and non convex stochastic control problems with applications

2020/37/B/ST1/00463

Keywords

Descriptors

  • ST1_018: Teoria sterowania i optymalizacja
  • ST1_013: Rachunek prawdopodobieństwa i statystyka matematyczna

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 19 – announced on 2020-03-16

Amount awarded
492 600 PLN
Project start date
2021-01-19
Project end date
2025-01-18
Project duration
48 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.

Information in the final report

Publication in academic press/journals (12)

  1. Utility-Based Acceptability Indices

    Authors:
    Marcin Pitera, Mikl'os R'asonyi
    Academic press:
    SIAM J. FINANCIAL MATH. (year: 2024, volume: 15 no. 2, pages: SC28--SC40), Publisher: SIAM
    Status:
    Published
    DOI:
    10.1137/24M1632486 – link to the publication

  2. On general financial markets with concave transaction costs

    Authors:
    A. Rygiel, L. Stettner
    Academic press:
    Discrete and Continuous Dynamical Systems Series - B (year: 2025, volume: praca przyjęta w lutym 2025, pages: opublikowana online), Publisher: American Institute of Mathematical Sciences
    Status:
    Published
    DOI:
    10.3934/dcdsb.2025012 – link to the publication

  3. Existence of bounded solutions to multiplicative Poisson equations under mixing property

    Authors:
    M. Pitera, Ł. Stettner
    Academic press:
    ESAIM: Control, Optimisation and Calculus of Variations (year: 2024, volume: 30, pages: 49), Publisher: EDP Sciences, SMAI 2024
    Status:
    Published
    DOI:
    10.1051/cocv/2024038 – link to the publication

  4. Gaussian dependence structure pairwise goodness-of-fit testing based on conditional covariance and the 20/60/20 rule

    Authors:
    J. Woźny, P. Jaworski, D. Jelito, M. Pitera, A. Wyłomańska
    Academic press:
    Journal of Multivariate Analysis (year: 2025, volume: 206, pages: 105396), Publisher: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.jmva.2024.105396 – link to the publication

  5. Discrete time risk sensitive control problem

    Authors:
    Ł. Stettner
    Academic press:
    Systems & Control Letters (year: 2024, volume: 186, pages: 105758), Publisher: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.sysconle.2024.105758 – link to the publication

  6. Risk-sensitive optimal stopping with unbounded terminal cost function

    Authors:
    D. Jelito, Ł. Stettner
    Academic press:
    Electron. J. Probab. 27 (2022) (year: 2022, volume: 27, pages: 46052), Publisher: Institute of Mathematical Statistics (IMS) and the Bernoulli Society
    Status:
    Published
    DOI:
    10.1214/21-EJP736 – link to the publication

  7. Blackwell optimality and policy stability for long-run risk sensitive stochastic control

    Authors:
    N. Bauerle, M. Pitera, Ł. Stettner
    Academic press:
    SIAM J. Control Optim (year: 2024, volume: 62 no. 6, pages: 3172-3194), Publisher: SIAM
    Status:
    Published
    DOI:
    10.1137/24M1671335 – link to the publication

  8. Discrete time risk sensitive portfolio optimization with proportional transaction costs

    Authors:
    M. Pitera, Ł. Stettner
    Academic press:
    Mathematical Finance (year: 2023, volume: 33, pages: 1287-1313), Publisher: Wiley
    Status:
    Published
    DOI:
    10.1111/mafi.12406 – link to the publication

  9. Certainty equivalent control of discrete time Markov processes with the average reward functional

    Authors:
    Ł. Stettner
    Academic press:
    Systems & Control Letters (year: 2023, volume: 181, pages: 105627), Publisher: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.sysconle.2023.105627 – link to the publication

  10. Asymptotics of impulse control problem with multiplicative reward

    Authors:
    D. Jelito, Ł. Stettner
    Academic press:
    Appl. Math. Optim. (year: 2023, volume: 88, pages: 24), Publisher: Springer
    Status:
    Published
    DOI:
    10.1007/s00245-023-10005-5 – link to the publication

  11. LONG-RUN IMPULSE CONTROL WITH GENERALIZED DISCOUNTING

    Authors:
    D. Jelito, Ł. Stettner
    Academic press:
    SIAM J. Control Optim. (year: 2024, volume: 62, pages: 853-876), Publisher: SIAM
    Status:
    Published
    DOI:
    10.1137/23M1582539 – link to the publication

  12. Conditional Correlation Estimation and Serial Dependence Identification

    Authors:
    K. Pączek, D. Jelito, M. Pitera, A. Wyłomańska
    Status:
    Accepted for publication

Articles in post-conference publications (1)

  1. Stability of long run functionals with respect to stationary Markov controls

    Authors:
    Ł. Stettner
    Conference:
    2024 IEEE 63rd Conference on Decision and Control (CDC) (year: 2024, volume: IEEE 63rd Conference on Decision and Control (CDC), pages: 1832-1837), Publisher: IEEE
    Date:
    conference 16-19 grudnia 2024
    Status:
    Published
    DOI:
    link to the publication

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