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Alan Greenspan, the quants and stochastic optimal control

Stein, Jerome L. - 2010

Alan Greenspan's paper (March 2010) presents his retrospective view of the crisis. His theme has several parts. First, the housing price bubble, its subsequent collapse and the financial crisis were not predicted either by the market, the FED, the IMF or the regulators in the years leading to...

Persistent link: https://www.econbiz.de/10010300502

A critique of the literature on the US financial debt crisis

Stein, Jerome L. - 2010

A healthy financial system encourages the efficient allocation of capital and risk. The collapse of the house price bubble led to the financial crisis that started in 2007. There is a large empirical literature concerning the relation between asset price bubbles and financial crises. I evaluate...

Persistent link: https://www.econbiz.de/10010266065

Optimal grazing management rules in semi-arid rangelands with uncertain rainfall

Quaas, Martin F.; Baumgärtner, Stefan - 2011

We study optimal adaptive grazing management under uncertain rainfall in a discrete-time model. As in each year actual rainfall can be observed during the short rainy season, and grazing management can be adapted accordingly for the growing season, the closed-loop solution of the stochastic...

Persistent link: https://www.econbiz.de/10010281758

Eugster, Patrick; Zweifel, Peter - 2006

correlation in their assets (health, wealth, wisdom, i.e. skills), causing them to demand a great deal of insurance coverage …. Insurers on the other hand eschew positively correlated risks. It can be shown that insurance contributes to a reduction of … insurance. Analyzing deviations from trend in aggregate insurance payments, one finds the following for the United States and …

Persistent link: https://www.econbiz.de/10010315580

Controlled Stochastic Differential Equations under Poisson Uncertainty and with Unbounded Utility

Sennewald, Ken - 2005

The present paper is concerned with the optimal control of stochastic differential equations, where uncertainty stems from one or more independent Poisson processes. Optimal behavior in such a setup (e.g., optimal consumption) is usually determined by employing the Hamilton-Jacobi-Bellman...

Persistent link: https://www.econbiz.de/10010296791

Multi-Dimensional Backward Stochastic Riccati Equations, and Applications

Kohlmann, Michael; Tang, Shanjian - 2000

Multi-dimensional backward stochastic Riccati differential equations (BSRDEs in short) are studied. A closed property for solutions of BSRDEs with respect to their coefficients is stated and is proved for general BSRDEs, which is used to obtain the existence of a global adapted solution to some...

Persistent link: https://www.econbiz.de/10010324034

Optimal Control of Linear Stochastic Systems with Singular Costs, and the Mean-Variance Hedging Problem with Stochastic Market Conditions

Kohlmann, Michael; Shanjian, Tang - 2000

The optimal control problem is considered for linear stochastic systems with a singular cost. A new uniformly convex structure is formulated, and its consequences on the existence and uniqueness of optimal controls and on the uniform convexity of the value function are proved. In particular, the...

Persistent link: https://www.econbiz.de/10010324035

Recent Advances in Backward Stochastics Riccati Equations and Their Applications

Kohlmann, Michael; Tang, Shanjian - 2000

The following backward stochastic Riccati differential equation (BSRDE in short) is motivated, and is then studied. Some properties are presented. The existence and uniqueness of a global adapted solution to a BSRDE has been open for the case D i 6= 0 for more than two decades. Our recent...

Persistent link: https://www.econbiz.de/10010324042

Backward Stochastic Differential Equations and Stochastic Controls: A New Perspective

Kohlmann, Michael; Zhou, Xun Yu - 1999

closed form by the stochastic linear-quadratic theory developed recently. The general result is then applied to the Back …

Persistent link: https://www.econbiz.de/10010324050

Global Adapted Solution of One-Dimensional Backward Stochastic Riccati Equations, with Application to the Mean-Variance Hedging

Kohlmann, Michael; Tang, Shanjian - 2000

We obtain the global existence and uniqueness result for a one-dimensional back- ward stochastic Riccati equation, whose generator contains a quadratic term of L (the second unknown component). This solves the one-dimensional case of Bismut- Peng's problem which was initially proposed by Bismut...

Persistent link: https://www.econbiz.de/10010324079

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