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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Methods of stochastic control with applications

2016/23/B/ST1/00479

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 12 - announced on 2016-09-15

Amount awarded: 280 400 PLN

Project start date (Y-m-d): 2017-06-27

Project end date (Y-m-d): 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. oprogramowanie Microsoft Office i Winzip (500 PLN)
  2. laptop z rozszerzoną pamiecia operacyjną i twardym dyskiem (8 000 PLN)
  3. duży monitor (1 500 PLN)

Information in the final report

  • Publication in academic press/journals (14)
  1. Optimal Strategies for Utility from Terminal Wealth with General Bid and Ask Prices
    Authors:
    T. Rogala L. Stettner
    Academic press:
    Applied Mathematics & Optimization (rok: 2021, tom: 83, strony: 405–-436), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s00245-018-9550-5 - link to the publication
  2. Risk sensitive optimal stopping
    Authors:
    D. Jelito, M. Pitera, Ł. Stettner
    Academic press:
    Stochastic Proc. Appl. (rok: 2021, tom: 136, strony: 125-144), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.spa.2021.03.005 - link to the publication
  3. ON AN APPROXIMATION OF AVERAGE COST PER UNIT TIME IMPULSE CONTROL OF MARKOV PROCESSES
    Authors:
    Łukasz Stettner
    Academic press:
    SIAM J. Control Optim. , Wydawca: SIAM
    Status:
    Submitted
    DOI:
    brak - link to the publication
  4. Bellman equations for scalar linear convex stochastic control problems
    Authors:
    T. Duncan, B. Pasik Duncan, L. Stettner
    Academic press:
    Banach Center Publications (rok: 2020, tom: 122, strony: 77-92), Wydawca: IM PAN
    Status:
    Published
    DOI:
    10.4064/bc122-5 - link to the publication
  5. Long-Run risk sensitive impulse control
    Authors:
    D. Jelito, M. Pitera, Ł. Stettner
    Academic press:
    SIAM J. Control Optim. (rok: 2020, tom: 58 (4), strony: 2446--2468), Wydawca: SIAM
    Status:
    Published
    DOI:
    10.1137/19M1305355 - link to the publication
  6. Estimating and backtesting under heavy tails
    Authors:
    Marcin Pitera, Thorsten Schmidt
    Academic press:
    Insurance: Mathematics and Economics , Wydawca: Elsevier
    Status:
    Submitted
    DOI:
    brak - link to the publication
  7. Backtesting Expected Shortfall: a simple recipe?
    Authors:
    F. Moldenhauer, M. Pitera
    Academic press:
    Journal of Risk (rok: 2019, tom: 22, strony: 17-42), Wydawca: Risk Net
    Status:
    Published
    DOI:
    10.21314/JOR.2019.418 - link to the publication
  8. Long-run risk sensitive dyadic impulse control,
    Authors:
    M. Pitera, Ł. Stettner
    Academic press:
    Applied Mathematics & Optimization (rok: 2021, tom: 84, strony: 19–47), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s00245-019-09631-9 - link to the publication
  9. NEW FAT-TAIL NORMALITY TEST BASED ON CONDITIONAL SECOND MOMENTS WITH APPLICATIONS TO FINANCE
    Authors:
    D. Jelito, M. Pitera
    Academic press:
    Statistical papers (rok: 2021, tom: 62, strony: 2083-2108.), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s00362-020-01176-2 - link to the publication
  10. Zero-sum Markov Games with Impulse Controls
    Authors:
    A. Basu, L. Stettner
    Academic press:
    SIAM J. Control Optim. (rok: 2020, tom: 58, strony: 580-604), Wydawca: SIAM
    Status:
    Published
    DOI:
    10.1137/18M1229365 - link to the publication
  11. STABILITY OF MEASURE SOLUTIONS TO A GENERALIZED BOLTZMANN EQUATION WITH COLLISIONS OF A RANDOM NUMBER OF PARTICLES
    Authors:
    H. Gacki, Ł. Stettner
    Academic press:
    Communications in Mathematical Sciences , Wydawca: International Press
    Status:
    Accepted for publication
    DOI:
    brak - link to the publication
  12. Fair estimation of capital risk allocation
    Authors:
    Tomasz R. Bielecki, Igor Cialenco, Marcin Pitera and Thorsten Schmidt
    Academic press:
    Statistics and Risk Modeling (rok: 2020, tom: 37, strony: 45315), Wydawca: De Gruyter
    Status:
    Published
    DOI:
    10.1515/strm-2019-0011 - link to the publication
  13. Long run control of Markov processes with degenerate observation
    Authors:
    Ł. Stettner
    Academic press:
    SIAM J. Control Optim. (rok: 2019, tom: 57, strony: 880-899), Wydawca: SIAM
    Status:
    Published
    DOI:
    10.1137/18M1196844 - link to the publication
  14. Unbiased estimation of risk
    Authors:
    M. Pitera T. Schmidt
    Academic press:
    Journal of Banking and Finance (rok: 2018, tom: 91, strony: 133-145), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.jbankfin.2018.04.016 - link to the publication

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