Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

Keywords

Equipment

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Stochastic control problems with applications to mathematics of finance

2012/07/B/ST1/03298

Keywords:

stochastic control mathematics of finance stochastic processes

Descriptors:

  • ST1_17: Applied mathematics
  • ST1_13: Probability and statistics
  • ST1_18: Control theory and optimisation

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

woj. 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 4 - announced on 2012-09-15

Amount awarded: 198 710 PLN

Project start date (Y-m-d): 2013-07-08

Project end date (Y-m-d): 2016-07-07

Project duration:: 36 months (the same as in the proposal)

Project status: Project settled

Equipment purchased [PL]

  1. laptop z roszerzoną pamięcia operacyjną (co najmniej 8GB RAM) i twardym dyskiem co najmniej 0.5 TB i stosunkowo szybkim procesorem (8 000 PLN)

Information in the final report

  • Publication in academic press/journals (13)
  • Articles in post-conference publications (1)
  1. DISCRETE TIME OPTIMAL DIVIDEND PROBLEM WITH CONSTANT PREMIUM AND EXPONENTIALLY DISTRIBUTED CLAIMS
    Authors:
    Dariusz Socha
    Academic press:
    Applicationes Mathematicae (rok: 2014, tom: 41,1, strony: 13-31), Wydawca: IMPAN
    Status:
    Published
    DOI:
    10.4064/am41-1-2 - link to the publication
  2. Ergodicity of filtering processes: the history of a mistake and attempts to correct it, Annales Mathematicae Silesianae 27 (2013), 39-58
    Authors:
    Ł. Stettner
    Academic press:
    Annales Mathematicae Silesianae 27 (2013), 39-58 (rok: 2013, tom: 27, strony: 39-58), Wydawca: Wydawnictwo Uniwersytetu Śląskiego
    Status:
    Published
    DOI:
    brak - link to the publication
  3. On Construction of Discrete Time Shadow Price, AMO 2015 published online
    Authors:
    T. Rogala, Ł. Stettner
    Academic press:
    Applied Mathematics and Optimization (AMO) (rok: 2015, tom: 72 (3), strony: 391-433), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s00245-014-9285-x - link to the publication
  4. American call options for power system balancing
    Authors:
    John Moriarty, Jan Palczewski
    Academic press:
    Operations Research (rok: 2017, ), Wydawca: Informs
    Status:
    Submitted
    DOI:
    brak - link to the publication
  5. Real option valuation of reserve capacity
    Authors:
    J. Moriarty, J. Palczewski
    Academic press:
    European Journal of Operatiuon Research (rok: 2017, tom: 257, strony: 251-260), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.ejor.2016.07.003 - link to the publication
  6. Remarks on simple arbitrage on markets with bid and ask prices
    Authors:
    A. Rygiel, Ł. Stettner
    Academic press:
    Applicationes Mathematicae (rok: 2017, tom: 44,1, strony: 33-55), Wydawca: IMPAN
    Status:
    Published
    DOI:
    10.4064/am2310-11-2016 - link to the publication
  7. Bayesian calibration and number of jump components in electricity spot price models
    Authors:
    J. Gonzalez, J. Moriarty, J. Palczewski
    Academic press:
    Energy Economics (rok: 2017, tom: 65, strony: 375-388), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.eneco.2017.04.022 - link to the publication
  8. Long run risk sensitive portfolio with general factors
    Authors:
    M. Pitera, Ł. Stettner
    Academic press:
    Math Meth Oper Res (rok: 2016, tom: 83, strony: 265-293), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s00186-015-0528-7 - link to the publication
  9. Sufficient conditions for the optimality of the barrier strategy in discrete time optimal dividend problem
    Authors:
    Dariusz Socha
    Academic press:
    Scandinavian Actuarial Journal (rok: 2017, ), Wydawca: Taylor & Francis
    Status:
    Submitted
    DOI:
    brak - link to the publication
  10. Finite and infinite horizon Shapley games with nonsymmetric partial observation
    Authors:
    Arnab Basu, Łukasz Stettner
    Academic press:
    SIAM J. Control Optim. (rok: 2015, tom: 53, No. 6, strony: 3584–3619), Wydawca: Society for Industrial and Applied Mathematics
    Status:
    Published
    DOI:
    10.1137/141000336 - link to the publication
  11. Impulse control maximising average cost per unit time: a non-uniformly ergodic case
    Authors:
    J. Palczewski, Ł. Stettner
    Academic press:
    SIAM J. Control Optimization (rok: 2017, tom: 55, strony: 836-960), Wydawca: SIAM
    Status:
    Published
    DOI:
    10.1137/16M1085991 - link to the publication
  12. Infinite horizon stopping problems with (nearly) total reward criteria
    Authors:
    J. Palczewski, Ł. Stettner
    Academic press:
    Stochastic Processes and Their Applications (rok: 2014, tom: 124, strony: 3887-3920), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.spa.2014.07.009 - link to the publication
  13. Bellman equations for terminal utility maximization with general bid and ask prices
    Authors:
    T. Rogala, Ł. Stettner
    Academic press:
    Probability and Mathematical Statistics (rok: 2017, ), Wydawca: Wydanwictwo Uniwersytetu Wrocławskiego
    Status:
    Accepted for publication
    DOI:
    brak - link to the publication
  1. Zero-sum stochastic games with nonsymmetric partial observation
    Authors:
    Arnab Basu, Lukasz Stettner
    Conference:
    21st International Symposium on Mathematical Theory of Networks and Systems (rok: 2014, ), Wydawca: MTNS
    Data:
    konferencja 7-11 lipca
    Status:
    Published
    DOI:
    link to the publication

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