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~subject:"Backward stochastic Riccati equation"
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Backward stochastic Riccati equation
Riccati equation
25
Stochastic process
14
Stochastischer Prozess
14
Kontrolltheorie
11
Control theory
10
Theorie
8
Theory
7
indeterminacy
6
multiple equilibria
6
sunspots
6
Option pricing theory
5
Optionspreistheorie
5
Efficient frontier
4
Estimation theory
4
Intertemporal optimization
4
Kalman filtering
4
Linear-quadratic control
4
Mathematische Optimierung
4
Portfolio selection
4
Portfolio-Management
4
Riccati reduction
4
Schätztheorie
4
complementary duality
4
generalized Riccati equation
4
semidefinite programming
4
Hamilton-Jacobi Bellman equation
3
Hot spot formation
3
Linear rational expectations models
3
Mathematical programming
3
Pattern formation
3
Time series analysis
3
Zeitreihenanalyse
3
backward stochastic Riccati equation
3
linear rational expectations models
3
matrix Riccati equation
3
stochastic LQ control
3
stochastic linear-quadratic control problem
3
Algebraic Riccati equation
2
Analysis
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English
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Shen, Yang
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Siu, Tak Kuen
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Vásquez, Óscar C.
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Zhang, Xin
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Operations research letters
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ECONIS (ZBW)
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On the complexity of the single machine scheduling problem minimizing total weighted delay penalty
Vásquez, Óscar C.
- In:
Operations research letters
42
(
2014
)
5
,
pp. 343-347
Persistent link: https://www.econbiz.de/10010404393
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2
Mean-variance portfolio selection under a constant elasticity of variance model
Shen, Yang
;
Zhang, Xin
;
Siu, Tak Kuen
- In:
Operations research letters
42
(
2014
)
5
,
pp. 337-342
Persistent link: https://www.econbiz.de/10010404397
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