National Repository of Grey Literature 4 records found  Search took 0.00 seconds. 
Optimal control in Markov chains with applications in trading with proportional transaction costs
Oberhauserová, Simona ; Dostál, Petr (advisor) ; Prášková, Zuzana (referee)
Abstract:! The aim of this thesis is to find the optimal control of Markov chain with discounted evaluation of transitions in discrete and also in continuous time. We present Howard's iterative algorithm, the algorithm for finding the optimal control. Then the strategy is applied to the problem of optimal trading, where the goal is to maximize market price of the portfolio in infinite time horizont, given the existence of the proportional transaction costs. Market price is simulated with Brownian motion.
Optimal control in Markov chains with applications in trading with proportional transaction costs
Oberhauserová, Simona ; Dostál, Petr (advisor) ; Prášková, Zuzana (referee)
Abstract:! The aim of this thesis is to find the optimal control of Markov chain with discounted evaluation of transitions in discrete and also in continuous time. We present Howard's iterative algorithm, the algorithm for finding the optimal control. Then the strategy is applied to the problem of optimal trading, where the goal is to maximize market price of the portfolio in infinite time horizont, given the existence of the proportional transaction costs. Market price is simulated with Brownian motion.
Optimal control in Markov chains with applications in trading with proportional transaction costs
Oberhauserová, Simona ; Dostál, Petr (advisor) ; Prášková, Zuzana (referee)
Abstract:! The aim of this thesis is to find the optimal control of Markov chain with discounted evaluation of transitions in discrete and also in continuous time. We present Howard's iterative algorithm, the algorithm for finding the optimal control. Then the strategy is applied to the problem of optimal trading, where the goal is to maximize market price of the portfolio in infinite time horizont, given the existence of the proportional transaction costs. Market price is simulated with Brownian motion.
Roulette and particular probabilities
Oberhauserová, Simona ; Lachout, Petr (advisor) ; Prokešová, Michaela (referee)
Title: Roulette and particular probabilities Author: Simona Oberhauserová Department: Department of probability and mathematical statistics Supervisor: Doc.RNDr. Petr Lachout, CSc., Department of probability and mathe- matical statistics Abstract: The thesis formulates roulette as a mathematical problem and examines the best roulette strategies in terms of probability of winning, gambler's ruin and probability distribution of profit. This game follows Kolmogor axiomatic probability model, therefore the calculations were counted by the basic formulas and axioms. In the calculations of the gambler's ruin differential equations were also used and built with random walk. In the longest expected run of red (black) were used sto- chastic processes and extreme value theory. In addition to interesting calculations, the conclusion also contains finding that there is no winning strategy in roulette. Even though one-time probabilities of winning are high, the finding indicates nega- tive mean value of profit. Keywords: Roulette, Kolmogorov axiomatic probability space

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