英文标题：
《Asymptotic Lower Bounds for Optimal Tracking: a Linear Programming
Approach》
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作者：
Jiatu Cai, Mathieu Rosenbaum and Peter Tankov
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最新提交年份：
2015
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英文摘要：
We consider the problem of tracking a target whose dynamics is modeled by a continuous It\\=o semi-martingale. The aim is to minimize both deviation from the target and tracking efforts. We establish the existence of asymptotic lower bounds for this problem, depending on the cost structure. These lower bounds can be related to the time-average control of Brownian motion, which is characterized as a deterministic linear programming problem. A comprehensive list of examples with explicit expressions for the lower bounds is provided.
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中文摘要：
我们考虑了一个目标的跟踪问题，该目标的动力学模型是连续的It\\=o半鞅。其目的是最大限度地减少偏离目标和跟踪工作。我们建立了这个问题的渐近下界的存在性，这取决于成本结构。这些下界与布朗运动的时间平均控制有关，布朗运动的特征是一个确定性线性规划问题。提供了一个完整的示例列表，其中包含下限的显式表达式。
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分类信息：

一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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