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~isPartOf:"Journal of mathematical finance"
~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~subject:"Dynamische Optimierung"
~subject:"Martingal"
~subject:"Option pricing theory"
~subject:"Transaktionskosten"
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Search: subject_exact:"Optimal control problem"
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Dynamische Optimierung
Martingal
Option pricing theory
Transaktionskosten
Control theory
35
Kontrolltheorie
35
Stochastic process
23
Stochastischer Prozess
23
Portfolio selection
21
Portfolio-Management
21
Theorie
15
Theory
15
Stochastic Optimal Control
6
CAPM
5
Mathematical programming
5
Mathematische Optimierung
5
Optionspreistheorie
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Interest rate
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Zins
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Experiment
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Martingale
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Transaction costs
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Yield curve
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Zinsstruktur
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stochastic optimal control
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Dividend
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Dynamic programming
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Hamilton-Jacobi-Bellman equation
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Incomplete market
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Reinsurance
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Risikomanagement
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Risikomaß
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Risk management
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English
13
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Bender, Christian
2
Dokučaev, Nikolaj G.
2
Muthuraman, Kumar
2
Runggaldier, Wolfgang J.
2
Björk, Tomas
1
Evstigneev, Igor V.
1
Gombani, Andrea
1
Hongler, Max-Olivier
1
Korn, Ralf
1
Kumar, Sunil
1
Li, Duan
1
Liang, Jianfeng
1
Liu, Jingzhen
1
Loxton, Ryan C.
1
Murgoci, Agatha
1
Samperi, Dominick
1
Schürger, Klaus
1
Taksar, Michael I.
1
Teo, Kok Lay
1
Yiu, Ka Fai Cedric
1
Zaccaria Ruggiu, Annapaola
1
Zha, Haining
1
Zhang, Shuzhong
1
Zhou, Xun Yu
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Journal of mathematical finance
Mathematical finance : an international journal of mathematics, statistics and financial theory
Insurance / Mathematics & economics
8
Operations research
8
Risks : open access journal
8
European journal of operational research : EJOR
7
Finance and stochastics
7
International journal of theoretical and applied finance
5
Journal of risk and financial management : JRFM
5
Mathematics of operations research
5
CoFE discussion papers
4
Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
4
Journal of economic dynamics & control
4
Management science : journal of the Institute for Operations Research and the Management Sciences
4
Applied mathematical finance
3
Computational economics
3
Mathematics and financial economics
3
Quantitative finance
3
Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW)
3
CESifo Working Paper Series
2
CESifo working papers
2
Computational Management Science : CMS
2
Cooperative networks : control and optimization ; [6th International Conference on Cooperative Control and Optimization ... February 1 - 3, 2006 in Gainesville, Florida]
2
Economics / Discussion papers : the open-access, open-assessment e-journal
2
INFORMS journal on applied analytics
2
International journal of production economics
2
Journal of revenue and pricing management
2
Journal of scheduling
2
Journal of the Operational Research Society : OR
2
Manufacturing & service operations management : M & SOM
2
Mathematical methods of operations research
2
Natural resource modeling : the official journal of the Resource Modeling Association
2
OR spectrum : quantitative approaches in management
2
Operations research letters
2
Optimization and computation series
2
SSRI working paper
2
Wirtschaftswissenschaftliches Studium : WiSt ; Zeitschrift für Studium und Forschung
2
American journal of agricultural economics
1
Annals of finance
1
Applied financial economics
1
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ECONIS (ZBW)
13
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1
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
Saved in:
2
A first-order BSPDE for swing option pricing
Bender, Christian
;
Dokučaev, Nikolaj G.
- In:
Mathematical finance : an international journal of …
26
(
2016
)
3
,
pp. 461-491
Persistent link: https://www.econbiz.de/10011583530
Saved in:
3
Mean-variance portfolio optimization with state-dependent risk aversion
Björk, Tomas
;
Murgoci, Agatha
;
Zhou, Xun Yu
- In:
Mathematical finance : an international journal of …
24
(
2014
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10010256230
Saved in:
4
Arbitrage-free multifactor term structure models : a theory based on stochastic control
Gombani, Andrea
;
Runggaldier, Wolfgang J.
- In:
Mathematical finance : an international journal of …
23
(
2013
)
4
,
pp. 659-686
Persistent link: https://www.econbiz.de/10010187681
Saved in:
5
Super-diffusive noise source in asset dynamics
Hongler, Max-Olivier
- In:
Journal of mathematical finance
3
(
2013
)
1
,
pp. 53-58
Persistent link: https://www.econbiz.de/10010240227
Saved in:
6
Optimal investment and proportional reinsurance with risk constraint
Liu, Jingzhen
;
Yiu, Ka Fai Cedric
;
Loxton, Ryan C.
; …
- In:
Journal of mathematical finance
3
(
2013
)
4
,
pp. 437-447
Persistent link: https://www.econbiz.de/10010240806
Saved in:
7
Simulation-based portfolio optimization for large portfolios with transaction costs
Muthuraman, Kumar
;
Zha, Haining
- In:
Mathematical finance : an international journal of …
18
(
2008
)
1
,
pp. 115-134
Persistent link: https://www.econbiz.de/10003643474
Saved in:
8
Optioned portfolio selection : models and analysis
Liang, Jianfeng
;
Zhang, Shuzhong
;
Li, Duan
- In:
Mathematical finance : an international journal of …
18
(
2008
)
4
,
pp. 569-593
Persistent link: https://www.econbiz.de/10003769015
Saved in:
9
Multidimensional portfolio optimization with proportional transaction costs
Muthuraman, Kumar
;
Kumar, Sunil
- In:
Mathematical finance : an international journal of …
16
(
2006
)
2
,
pp. 301-335
Persistent link: https://www.econbiz.de/10003325969
Saved in:
10
On the fundamental theorem of asset pricing : random constraints and bang-bang no-arbitrage criteria
Evstigneev, Igor V.
;
Schürger, Klaus
;
Taksar, Michael I.
- In:
Mathematical finance : an international journal of …
14
(
2004
)
2
,
pp. 201-221
Persistent link: https://www.econbiz.de/10002032691
Saved in:
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