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~isPartOf:"CARF working paper"
~isPartOf:"CoFE discussion papers"
~isPartOf:"Computational economics"
~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~subject:"Mathematische Optimierung"
~subject:"Option pricing theory"
~subject:"stochastic optimal control"
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Search: subject_exact:"Optimal control problem"
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Mathematische Optimierung
Option pricing theory
stochastic optimal control
Control theory
53
Kontrolltheorie
53
Stochastic process
31
Stochastischer Prozess
31
Theorie
24
Theory
24
Portfolio selection
16
Portfolio-Management
16
Mathematical programming
14
Optionspreistheorie
10
Analysis
5
CAPM
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Dynamic programming
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Dynamische Optimierung
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Hedging
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Markov-Kette
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Numerisches Verfahren
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Robustes Verfahren
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Search theory
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Transaktionskosten
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Unvollkommener Markt
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backward stochastic Riccati equation
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mean-variance hedging
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stochastic control
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stochastic linear-quadratic control problem
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25
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Kohlmann, Michael
4
Tang, Shanjian
3
Bender, Christian
2
Blueschke, D.
2
Blueschke-Nikolaeva, V.
2
Dokučaev, Nikolaj G.
2
Saito, Taiga
2
Takahashi, Akihiko
2
Barth, Andrea
1
Bayón, L.
1
Björk, Tomas
1
Blueschke, Dmitri
1
Brandt-Pollmann, Ulrich
1
Chavanasporn, Walailuck
1
Dleuna Nyoumbi, Christelle
1
Ewald, Christian-Oliver
1
Federico, Salvatore
1
Frei, Christoph
1
García-Rubio, Raquel
1
Gassiat, Paul
1
Gombani, Andrea
1
Gozzi, Fausto
1
Guéant, Olivier
1
Kafash, Behzad
1
Kizaki, Keisuke
1
Lehalle, Charles-Albert
1
Li, Xiangrong
1
Moreno-Bromberg, Santiago
1
Moslener, Ulf
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Murgoci, Agatha
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Neck, Reinhard
1
Otero, J. A.
1
Reichmann, Oleg
1
Runggaldier, Wolfgang J.
1
Sager, Sebastian
1
Samperi, Dominick
1
Savin, I.
1
Savin, Ivan
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Schlöder, Johannes P.
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Suárez, P. M.
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CARF working paper
CoFE discussion papers
Computational economics
Mathematical finance : an international journal of mathematics, statistics and financial theory
European journal of operational research : EJOR
16
Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW)
14
Mathematics of operations research
13
Insurance / Mathematics & economics
12
Operations research
11
Finance and stochastics
10
International journal of theoretical and applied finance
10
Risks : open access journal
9
Operations research letters
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Applied mathematical finance
7
CESifo working papers
5
Discussion paper / Center for Economic Research, Tilburg University
5
Journal of economic dynamics & control
5
Mathematical methods of operations research
5
Scandinavian actuarial journal
5
SpringerLink / Bücher
5
Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
4
International journal of production economics
4
Journal of risk and financial management : JRFM
4
Lecture Notes in Economics and Mathematical Systems
4
Lecture notes in economics and mathematical systems : LNEMS
4
Mathematical methods of operations research : ZOR
4
Mathematics and financial economics
4
Quantitative finance
4
Computational optimization and applications : an international journal
3
Games
3
International journal of production research
3
Journal of mathematical finance
3
Mathematical control theory and finance
3
RAIRO / Operations research
3
Advances in mathematical economics
2
American journal of agricultural economics
2
Applied optimization
2
CIRJE discussion papers / F series
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CentER Discussion Paper Series
2
Central European journal of operations research : CEJOR ; official journal of the Austrian, Croatian, Czech, Hungarian, Slovakian and Slovenian OR Societies
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ECONIS (ZBW)
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1
Multi-agent robust optimal investment problem in incomplete market
Kizaki, Keisuke
;
Saito, Taiga
;
Takahashi, Akihiko
-
2023
Persistent link: https://www.econbiz.de/10014438131
Saved in:
2
A novel high dimensional fitted scheme for stochastic optimal control problems
Dleuna Nyoumbi, Christelle
;
Tambue, Antoine
- In:
Computational economics
61
(
2023
)
1
,
pp. 1-34
Persistent link: https://www.econbiz.de/10014228389
Saved in:
3
How robust is robust control in discrete time?
Tucci, Marco Paolo
- In:
Computational economics
58
(
2021
)
2
,
pp. 279-309
Persistent link: https://www.econbiz.de/10012614989
Saved in:
4
Supplementary file for "Sup-inf/inf-sup problem on choice of a probability measure by FBSDE approach"
Saito, Taiga
;
Takahashi, Akihiko
-
2021
Persistent link: https://www.econbiz.de/10012616241
Saved in:
5
OPTCON3 : an active learning control algorithm for nonlinear quadratic stochastic problems
Blueschke-Nikolaeva, V.
;
Blueschke, D.
;
Neck, Reinhard
- In:
Computational economics
56
(
2020
)
1
,
pp. 145-162
Persistent link: https://www.econbiz.de/10012272022
Saved in:
6
An evolutionary approach to passive learning in optimal control problems
Blueschke, D.
;
Savin, I.
;
Blueschke-Nikolaeva, V.
- In:
Computational economics
56
(
2020
)
3
,
pp. 659-673
Persistent link: https://www.econbiz.de/10012390419
Saved in:
7
Approximating the solution of stochastic optimal control problems and the Merton's portfolio selection model
Kafash, Behzad
- In:
Computational economics
54
(
2019
)
2
,
pp. 763-782
Persistent link: https://www.econbiz.de/10012134353
Saved in:
8
A numerical algorithm for the coupled PDEs control problem
Yuan, Gonglin
;
Li, Xiangrong
- In:
Computational economics
53
(
2019
)
2
,
pp. 697-707
Persistent link: https://www.econbiz.de/10012134850
Saved in:
9
Impact of time illiquidity in a mixed market without full observation
Federico, Salvatore
;
Gassiat, Paul
;
Gozzi, Fausto
- In:
Mathematical finance : an international journal of …
27
(
2017
)
2
,
pp. 401-437
Persistent link: https://www.econbiz.de/10011752503
Saved in:
10
A first-order BSPDE for swing option pricing : classical solutions
Bender, Christian
;
Dokučaev, Nikolaj G.
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 902-925
Persistent link: https://www.econbiz.de/10011764986
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