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Operations research, linear programming, control theory, systems theory, optimal control, game theory

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109 views

Maximisation of a convex (quadratic) function

This post is a continuation of A variant of (discrete) optimal transport problem For $\alpha=(\alpha_1,\ldots,\alpha_m)\subset\mathbb R^m_+$, $\beta=(\beta_1,\ldots,\beta_n)\subset\mathbb R^n_+$ and …
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On a stochastic control problem

Let $(\Omega,\mathcal F, \mathbb P)$ be a probability space on which a Brownian motion $W$ is defined, and $\mathcal U$ be the set of progressively measurable (w.r.t. the Brownian filtration) processe …
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