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Approximate group context tree: applications to dynamic programming and dynamic choice models
categorical time series group context tree
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2011/7/19
The paper considers a variable length Markov chain model associated with a group of stationary processes that share the same context tree but potentially different conditional probabilities.
On some recent aspects of stochastic control and their applications
Controlled diffusions dynamic programming maximum principle viscosity solutions
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2009/5/18
This paper is a survey on some recent aspects and developments in stochastic control. We discuss the two main historical approaches, Bellman's optimality principle and Pontryagin's maximum principle, ...