Stochastic Control and Applications in Economics

9970852fleming这个项目有两部分。第一个问题涉及无限时间范围内的风险敏感随机控制，并在金融领域应用。寻求使投资者财富预期效用的长期增长率最大化的投资控制政策。无限视界鲁棒控制问题被认为是确定性的、小噪声强度极限的风险敏感问题。第二部分涉及发展中经济体的宏观经济增长/债务模型，其中利率和生产率是随机建模的。在考虑的模型中，资本投资和消费受到控制。需要解决的建模问题包括通过硬约束或惩罚函数对借款进行适当限制。这个项目涉及金融问题的最优随机控制技术。其中一个应用领域涉及长期投资组合优化。其目的是建议投资控制政策，使投资者的财富得到良好的增长。这是通过优化一些对风险敏感的性能标准来实现的。另一个应用领域是国际金融和债务。最近的危机，尤其是亚洲的危机，引发了有关危机起因、如何预防危机以及可能出现的脆弱性预警信号等问题。本研究的目的是开发和分析发展中经济体增长的随机控制模型，其中利率和生产率是随机建模的。模型在最优控制政策下的表现可以提供基准，以表明在当前政策下实际经常账户赤字和外债是否可持续。

9970852FlemingThis project has two parts. The first concerns risk-sensitive stochastic control on an infinite time horizon, with applications in finance. Investment control policies are sought which maximize the long term growth rate of expected utility of an investor's wealth. Infinite horizon robust control problems are considered as deterministic, small noise intensity limits of risk sensitive problems. The second part concerns macroeconomic growth/debt models for developing economies in which interest and production rates are modelled stochastically. In the models to be considered, capital investment and consumption are being controlled. Among the modelling issues to be addressed are appropriate limitations on borrowing through either hard constraints or penalty functions.This project concerns optimal stochastic control techniques for problems of finance. One area of application concerns investment portfolio optimization over long time horizons. The goal is to suggest investment control policies that provide good growth of an investor's wealth. This is done by optimizing some risk-sensitive performance criterion. Another area of application is to international finance and debt. Recent crises, especially in Asia, have led to questions concerning the causes, how crises can be prevented and possible early warning signs of vulnerability. The goal of this research is to develop and analyze stochastic control models for the growth of developing economies in which interest and production rates are modelled stochastically. The model performance under optimal control policies may provide benchmarks to indicate whether actual current account deficits and foreign debt are sustainable under current policies.