Stochastic optimal control of jumping Markov parameter processes with applications to finance.

• Ano de defesa: 2002
• Autor(a) principal: Daniel Oliveira Cajueiro
• Tipo de documento: Tese
• Tipo de acesso: Acesso aberto
• Idioma: eng
• Instituição de defesa: Instituto Tecnológico de Aeronáutica
• Palavras-chave em Português: Controle óptimo; Processos estocásticos; Mercado financeiro; Processos de Markov; Finanças; Estimação de sistemas; Teoria de controle; Microeconomia; Controle
• Link de acesso: http://www.bd.bibl.ita.br/tde_busca/arquivo.php?codArquivo=2567

This thesis is concerned with the study of the classical intertemporal continuous time optimal portfolio problem in the switching diffusion market and the problem of optimal control of the switching reserves of an insurance company. The switching diffusion market is a jumping Markov parameter diffusion market which has two independent sources of uncertainties: a Brownian motion and a continuous time Markov chain (CTMC). While the brownian motion intends to model the normal oscillations of the asset prices, the CTMC aims at modelling the abrupt changes that can occur in the parameters of the stock model. Although the problem considered in this thesis is not a linear one with quadratic cost, it is shown in this work that one can use techniques similar to that ones used to deal with the LQG problem with jumping parameters.