Browsing by Author "Gucoglu, Deniz H."

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A general characterization of the stochastic optimal combined control of mean field stochastic systems with application
(Springer Berlin Heidelberg, 2018) Shahlar Meherrem; Mokhtar Hafayed; Deniz Hasan Guçoglu; Şaban Eren; Hafayed, Mokhtar; Meherrem, Shahlar; Gucoglu, Deniz H.; Eren, Saban
In this paper a general characterization of the optimal stochastic combined control for mean-field jump-systems is derived by applying mixed convex-spike perturbation method. The diffusion coefficient depends on the continuous control variable and the control domain is not necessary convex. In our combined mean-field control problem we discuss two classes of jumps for the state processes the inaccessible jumps which caused by Poisson martingale measure and the predictable ones which caused by the singularity of the control variable. Markowitz’s mean–variance portfolio selection problem with intervention control is discussed. © 2020 Elsevier B.V. All rights reserved.
Citation - WoS: 1
Citation - Scopus: 1
NUMERICAL SOLUTION OF LINEAR-QUADRATIC OPTIMAL CONTROL PROBLEMS FOR SWITCHING SYSTEMS
(UNIV MISKOLC INST MATH, 2018) Shahlar Meherrem; Deniz H. Gucoglu; Samir Guliyev; Guliyev, Samir; Meherrem, Shahlar; Gucoglu, Deniz H.
In this paper we discuss the approach for optimal switching control problem with unknown switching points. The case with unknown switching point is more general and generalizes the results existing in the literature. By using suitable transformation the main problem is reduced into a problem with known interval and further the unknown boundary of the integral in the minimization functional is reduced to the known one. This fact is illustrated by an example. The reduced problem is solved numerically by using the Gradient Projection Method Algorithm.
Citation - WoS: 3
Citation - Scopus: 3
Variational principle for stochastic singular control of mean-field Levy-forward-backward system driven by orthogonal Teugels martingales with application
(INDERSCIENCE ENTERPRISES LTD, 2017) Mokhtar Hafayed; Shahlar Meherrem; Deniz H. Gucoglu; Saban Eren; Hafayed, Mokhtar; Meherrem, Shahlar; Gucoglu, Deniz H.; Eren, Saban
We consider stochastic singular control for mean-field forward-backward stochastic differential equations driven by orthogonal Teugels martingales associated with some Levy processes having moments of all orders and an independent Brownian motion. Under partial information necessary and sufficient conditions for optimality in the form of maximum principle for this mean-field system are established by means of convex variation methods and duality techniques. As an illustration this paper studies a partial information mean-variance portfolio selection problem driven by orthogonal Teugels martingales associated with gamma process as Levy process of bounded variation.