FG Finanzmathematik2 Items
Beßlich, David (2019)
Stochastic control theory determines intervention policies optimizing the evolution of a system subject to randomness. Delicate issues arise when the considered system can jump due to both exogenous shocks and endogenous controls. Here one has to specify what the controller knows when about the exogenous shocks and how and when she can act on this information. Classical optimal control resolves...Shadow price of information in discrete time stochastic optimization
Pennanen, Teemu ; Perkkiö, Ari-Pekka (2017)
The shadow price of information has played a central role in stochastic optimization ever since its introduction by Rockafellar and Wets in the mid-seventies. This article studies the concept in an extended formulation of the problem and gives relaxed sufficient conditions for its existence. We allow for general adapted decision strategies, which enables one to establish the existence of soluti...