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Information on the principal investigator and host institution

Information of the project and the call

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Analysis of asymptotical and non convex stochastic control problems with applications

2020/37/B/ST1/00463

Keywords:

risk sensitive control problems average cost per unit time problems additive and multiplicative Poisson equations illiquid markets markets with friction nonproportional transaction costs nonconvex control problems

Descriptors:

  • ST1_018:
  • ST1_013:

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 19 - announced on 2020-03-16

Amount awarded: 492 600 PLN

Project start date (Y-m-d): 2021-01-19

Project end date (Y-m-d): 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)
  • Articles in post-conference publications (1)
  1. 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 (rok: 2024, tom: 30, strony: 49), Wydawca: EDP Sciences, SMAI 2024
    Status:
    Published
    DOI:
    10.1051/cocv/2024038 - link to the publication
  2. Discrete time risk sensitive portfolio optimization with proportional transaction costs
    Authors:
    M. Pitera, Ł. Stettner
    Academic press:
    Mathematical Finance (rok: 2023, tom: 33, strony: 1287-1313), Wydawca: Wiley
    Status:
    Published
    DOI:
    10.1111/mafi.12406 - link to the publication
  3. 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 (rok: 2025, tom: 206, strony: 105396), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.jmva.2024.105396 - link to the publication
  4. Asymptotics of impulse control problem with multiplicative reward
    Authors:
    D. Jelito, Ł. Stettner
    Academic press:
    Appl. Math. Optim. (rok: 2023, tom: 88, strony: 24), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s00245-023-10005-5 - link to the publication
  5. On general financial markets with concave transaction costs
    Authors:
    A. Rygiel, L. Stettner
    Academic press:
    Discrete and Continuous Dynamical Systems Series - B (rok: 2025, tom: praca przyjęta w lutym 2025, strony: opublikowana online), Wydawca: American Institute of Mathematical Sciences
    Status:
    Published
    DOI:
    10.3934/dcdsb.2025012 - 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) (rok: 2022, tom: 27, strony: 46052), Wydawca: Institute of Mathematical Statistics (IMS) and the Bernoulli Society
    Status:
    Published
    DOI:
    10.1214/21-EJP736 - link to the publication
  7. LONG-RUN IMPULSE CONTROL WITH GENERALIZED DISCOUNTING
    Authors:
    D. Jelito, Ł. Stettner
    Academic press:
    SIAM J. Control Optim. (rok: 2024, tom: 62, strony: 853-876), Wydawca: SIAM
    Status:
    Published
    DOI:
    10.1137/23M1582539 - link to the publication
  8. 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 (rok: 2024, tom: 62 no. 6, strony: 3172-3194), Wydawca: SIAM
    Status:
    Published
    DOI:
    10.1137/24M1671335 - link to the publication
  9. Utility-Based Acceptability Indices
    Authors:
    Marcin Pitera, Mikl'os R'asonyi
    Academic press:
    SIAM J. FINANCIAL MATH. (rok: 2024, tom: 15 no. 2, strony: SC28--SC40), Wydawca: SIAM
    Status:
    Published
    DOI:
    10.1137/24M1632486 - link to the publication
  10. Discrete time risk sensitive control problem
    Authors:
    Ł. Stettner
    Academic press:
    Systems & Control Letters (rok: 2024, tom: 186, strony: 105758), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.sysconle.2024.105758 - link to the publication
  11. Certainty equivalent control of discrete time Markov processes with the average reward functional
    Authors:
    Ł. Stettner
    Academic press:
    Systems & Control Letters (rok: 2023, tom: 181, strony: 105627), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.sysconle.2023.105627 - 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
  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) (rok: 2024, tom: IEEE 63rd Conference on Decision and Control (CDC), strony: 1832-1837), Wydawca: IEEE
    Data:
    konferencja 16-19 grudnia 2024
    Status:
    Published
    DOI:
    link to the publication

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