Stochastic Optimal Control

Sort:

All Agent Based Modeling Applied Mathematics Blog Energy Economics Market Modeling Mathematical Finance Mathematical Modeling Mean Field Games Medical Modeling Numerical Methods PDEs Physics Quant Finance Real Options Risk and Markets Stochastic Analysis Stochastic Optimal Control

Mar 28, 2026· Energy Economics Real Options Stochastic Optimal Control

Pricing a Gas Liquefaction Plant as a Real Option: An HJB Approach

We price the option to invest in a gas liquefaction plant using the Hamilton-Jacobi-Bellman PDE, with CIR gas price dynamics and a finite-horizon free boundary problem.

Mar 27, 2026· Mathematical Modeling Mean Field Games Stochastic Optimal Control

The Mean Field Game of Mediocrity

Mean field game theory gives mediocracy a precise formulation: when conformity pressure exceeds rank incentive, the coupled HJB–Fokker–Planck system has a concentrated Nash equilibrium. A phase transition separates dispersed outcomes from universal indistinction.