IDEAS home Printed from https://ideas.repec.org/a/spr/metcap/v20y2018i1d10.1007_s11009-017-9565-4.html
   My bibliography  Save this article

On the Optimal Control of a Random Walk with Jumps and Barriers

Author

Listed:
  • Tim Breitenbach

    (Universität Würzburg)

  • Mario Annunziato

    (Università degli Studi di Salerno)

  • Alfio Borzì

    (Universität Würzburg)

Abstract

The modeling and optimal control of a class of random walks (RWs) is investigated in the framework of the Chapman-Kolmogorov (CK) and Fokker-Planck (FP) equations. This class of RWs includes jumps driven by a compound Poisson process and are subject to different barriers. A control mechanism is investigated that is included in the CK stochastic transition matrix and the purpose of the control is to track a desired discrete probability density function and attain a desired terminal density configuration. Existence and characterization of optimal controls are discussed. The proposed approach allows the derivation of a new FP model that accommodates the presence of the jumps and guarantees conservation of total probability in the case of reflecting barriers, which are modelled by appropriate operators. Results of numerical experiments are presented that successfully validate the proposed control framework.

Suggested Citation

  • Tim Breitenbach & Mario Annunziato & Alfio Borzì, 2018. "On the Optimal Control of a Random Walk with Jumps and Barriers," Methodology and Computing in Applied Probability, Springer, vol. 20(1), pages 435-462, March.
    • Handle: RePEc:spr:metcap:v:20:y:2018:i:1:d:10.1007_s11009-017-9565-4
    DOI: 10.1007/s11009-017-9565-4
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s11009-017-9565-4
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s11009-017-9565-4?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Scalas, Enrico, 2006. "The application of continuous-time random walks in finance and economics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 362(2), pages 225-239.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Simone Göttlich & Ralf Korn & Kerstin Lux, 2019. "Optimal control of electricity input given an uncertain demand," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 90(3), pages 301-328, December.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Scalas, Enrico & Gallegati, Mauro & Guerci, Eric & Mas, David & Tedeschi, Alessandra, 2006. "Growth and allocation of resources in economics: The agent-based approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(1), pages 86-90.
    2. Jiang, Zhi-Qiang & Chen, Wei & Zhou, Wei-Xing, 2009. "Detrended fluctuation analysis of intertrade durations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(4), pages 433-440.
    3. Politi, Mauro & Scalas, Enrico, 2008. "Fitting the empirical distribution of intertrade durations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(8), pages 2025-2034.
    4. Ali Balcı, Mehmet, 2017. "Time fractional capital-induced labor migration model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 477(C), pages 91-98.
    5. Lv, Longjin & Xiao, Jianbin & Fan, Liangzhong & Ren, Fuyao, 2016. "Correlated continuous time random walk and option pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 447(C), pages 100-107.
    6. Kiran Sharma & Parul Khurana, 2021. "Growth and dynamics of Econophysics: a bibliometric and network analysis," Scientometrics, Springer;Akadémiai Kiadó, vol. 126(5), pages 4417-4436, May.
    7. David, S.A. & Machado, J.A.T. & Quintino, D.D. & Balthazar, J.M., 2016. "Partial chaos suppression in a fractional order macroeconomic model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 122(C), pages 55-68.
    8. Ribeiro, Andre F., 2021. "Competition, Diversity and Quality," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 568(C).
    9. Vallois, Pierre & Tapiero, Charles S., 2007. "Memory-based persistence in a counting random walk process," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 386(1), pages 303-317.
    10. Scalas, Enrico, 2007. "Mixtures of compound Poisson processes as models of tick-by-tick financial data," Chaos, Solitons & Fractals, Elsevier, vol. 34(1), pages 33-40.
    11. Tóth, Bence & Kertész, János, 2009. "Accurate estimator of correlations between asynchronous signals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(8), pages 1696-1705.
    12. Tarasov, Vasily E., 2020. "Fractional econophysics: Market price dynamics with memory effects," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 557(C).
    13. Jiang, Zhi-Qiang & Chen, Wei & Zhou, Wei-Xing, 2008. "Scaling in the distribution of intertrade durations of Chinese stocks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(23), pages 5818-5825.
    14. Francesco Mainardi, 2020. "On the Advent of Fractional Calculus in Econophysics via Continuous-Time Random Walk," Mathematics, MDPI, vol. 8(4), pages 1-9, April.
    15. Vasily E. Tarasov & Valentina V. Tarasova, 2019. "Dynamic Keynesian Model of Economic Growth with Memory and Lag," Mathematics, MDPI, vol. 7(2), pages 1-17, February.
    16. Bottazzi, Giulio, 2009. "On the irreconcilability of Pareto and Gibrat laws," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(7), pages 1133-1136.
    17. Ni, Xiao-Hui & Jiang, Zhi-Qiang & Gu, Gao-Feng & Ren, Fei & Chen, Wei & Zhou, Wei-Xing, 2010. "Scaling and memory in the non-Poisson process of limit order cancelation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(14), pages 2751-2761.
    18. Shota Gugushvili & Frank Meulen & Peter Spreij, 2018. "A non-parametric Bayesian approach to decompounding from high frequency data," Statistical Inference for Stochastic Processes, Springer, vol. 21(1), pages 53-79, April.
    19. Valentina V. Tarasova & Vasily E. Tarasov, 2017. "Concept of dynamic memory in economics," Papers 1712.09088, arXiv.org.
    20. Gorenflo, Rudolf & Mainardi, Francesco & Vivoli, Alessandro, 2007. "Continuous-time random walk and parametric subordination in fractional diffusion," Chaos, Solitons & Fractals, Elsevier, vol. 34(1), pages 87-103.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:metcap:v:20:y:2018:i:1:d:10.1007_s11009-017-9565-4. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.