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Asymptotic Lower Bounds for Optimal Tracking: a Linear Programming Approach

15 marzo 2016 ore 14:30 - 15:30

Aula 204, Sede di Viale Romania, 32

Speaker: Peter Tankov, Université Paris-Diderot

Abstract: We consider the problem of tracking a target whose dynamics is modeled by a continuous Ito semi-martingale. The aim is to minimize both deviation from the target and tracking efforts. We establish the existence of asymptotic lower bounds for this problem, depending on the cost structure. These lower bounds can be related to the time-average control of Brownian motion, which is characterized as a deterministic linear programming problem. A comprehensive list of examples with explicit expressions for the lower bounds is provided

Joint work with   Jiatu Cai and Mathieu Resenbaum