Optimization of the stopping time in multilevel dynamic systems

Krasovskii AA & Tarasyev AM (2008). Optimization of the stopping time in multilevel dynamic systems. Journal of Udmurt University. Series Mathematics 2: 63-64.

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Abstract

A dynamic model of investment process in a market environment is designed. The model is focused on three decision making problems: identification of the market time trends; optimization of the commercialization time; optimal control design of the investment policy. A stochastic model based on probabilistic distributions for description of the price formation mechanism is realized for identification of the market trajectories. It is proved that extremum of the profit function coincide with points of intersection of the distribution function and the marginal costs. The model is calibrated basing on the econometric data analysis.

Item Type: Article
Research Programs: Dynamic Systems (DYN)
Bibliographic Reference: Journal of Udmurt University. Series Mathematics; 2008(2) [2008]
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 08:41
Last Modified: 07 Sep 2016 10:04
URI: http://pure.iiasa.ac.at/8617

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