英文标题：
《Analysis of the problem of intervention control in the economy on the
basis of solving the problem of tuning》
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作者：
Peter Shnurkov, Daniil Novikov
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最新提交年份：
2018
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英文摘要：
The paper proposes a new stochastic intervention control model conducted in various commodity and stock markets. The essence of the phenomenon of intervention is described in accordance with current economic theory. A review of papers on intervention research has been made. A general construction of the stochastic intervention model was developed as a Markov process with discrete time, controlled at the time it hits the boundary of a given subset of a set of states. Thus, the problem of optimal control of interventions is reduced to a theoretical problem of control by the specified process or the problem of tuning. A general solution of the tuning problem for a model with discrete time is obtained. It is proved that the optimal control in such a problem is deterministic and is determined by the global maximum point of the function of two discrete variables, for which an explicit analytical representation is obtained. It is noted that the solution of the stochastic tuning problem can be used as a basis for solving control problems of various technical systems in which there is a need to maintain some main parameter in a given set of its values.
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中文摘要：
本文提出了一种新的在各种商品和股票市场上进行的随机干预控制模型。根据当前的经济理论，阐述了干预现象的本质。对有关干预研究的论文进行了综述。随机干预模型的一般结构是一个离散时间马尔可夫过程，在到达一组状态的给定子集的边界时进行控制。因此，干预的最优控制问题被简化为通过指定过程进行控制的理论问题或调整问题。给出了一类离散时间模型整定问题的一般解。证明了该问题的最优控制是确定性的，由两个离散变量函数的全局最大点决定，并给出了其显式解析表达式。值得注意的是，随机调谐问题的解可以作为解决各种技术系统控制问题的基础，其中需要在给定的一组值中保持一些主要参数。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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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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