Optimal Control Problems with Disorder
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We consider a generalization of processes with disorder, namely processes with a vector disorder. For these problems, we consider a class of optimal control problems that do not detect the disorder. We propose a computational method for solving control problems on a finite time interval and with an objective functional defined at the end of the interval, based on the use of the martingale technique. We consider a computational experiment for a model with two barriers and two stopping times.
Keywordsprocesses with disorder vector disorder martingale martingale measure Wiener process quantile hedging
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This work was financially supported by the Russian Science Foundation, project no. 17-19-01038.
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