Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

Keywords

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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_18: Control theory and optimisation
  • ST1_13: Probability and statistics

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.

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 completed

Project description

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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 (11)
  1. 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
  2. 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
  3. 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
  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. 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: 45687), Wydawca: Institute of Mathematical Statistics (IMS) and the Bernoulli Society
    Status:
    Published
    DOI:
    10.1214/21-EJP736 - link to the publication
  6. Discrete time risk sensitive portfolio optimization with proportional transaction costs
    Authors:
    M. Pitera, Ł. Stettner
    Academic press:
    Mathematical Finance (rok: 2023, tom: nie wiem, strony: nie wiem), Wydawca: Wiley
    Status:
    Submitted
  7. 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: 45687), Wydawca: Institute of Mathematical Statistics (IMS) and the Bernoulli Society
    Status:
    Published
    DOI:
    10.1214/21-EJP736 - link to the publication
  8. 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
  9. Asymptotics of impulse control problem with multiplicative reward
    Authors:
    D. Jelito, Ł. Stettner
    Academic press:
    Appl. Math. Optim. (rok: 2024, tom: nie znamy, strony: nie znamy), Wydawca: Springer
    Status:
    Submitted
  10. Discrete time risk sensitive control problem
    Authors:
    Ł. Stettner
    Academic press:
    SIAM J. Control. Optim. (rok: 2023, tom: nie znam, strony: nie znam), Wydawca: SIAM
    Status:
    Submitted
  11. 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: 45687), Wydawca: Institute of Mathematical Statistics (IMS) and the Bernoulli Society
    Status:
    Published
    DOI:
    10.1214/21-EJP736 - link to the publication

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