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Search: subject:"Viscosity"
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Dynamic programming
viscosity solutions
52
Viscosity solution
44
viscosity solution
43
Theorie
40
Theory
39
Viscosity
38
Stochastic process
36
Stochastischer Prozess
36
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30
Portfolio selection
28
Portfolio-Management
26
Mathematical programming
23
Mathematische Optimierung
23
Control theory
22
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Viscosity Solutions
19
Asset and Liability Management
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Benchmarked Asset Management
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Classical Solutions
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Dynamic Investment Management
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Hamilton–Jacobi–Bellman Equations
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Jump Diffusion Processes
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Kelly Criterion
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Risk Sensitive Control
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Transaction costs
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Game theory
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Spieltheorie
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viscosity
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Biodiesel
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Hamilton-Jacobi-Bellman equation
12
Investment
10
Markov chain
10
Markov-Kette
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stochastic control
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Dividend
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Dividende
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Dynamische Optimierung
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Gozzi, Fausto
3
Backhoff-Veraguas, Julio
1
Bambi, Mauro
1
Bouchard, Bruno
1
Buckdahn, Rainer
1
Calvia, Alessandro
1
Cerqueti, Roy
1
Federico, Salvatore
1
Giacinto, Marina Di
1
Grün, Christine
1
Heinrich, Henriette Elisabeth
1
Lazgham, Mourad
1
Li, Juan
1
Lippi, Francesco
1
Mnif, Mohamed
1
Nutz, Marcel
1
Oliveira, Carlos
1
Perkowski, Nicolas
1
Quincampoix, Marc
1
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Economic theory
1
European journal of operational research : EJOR
1
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International journal of game theory : official journal of the Game Theory Society
1
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1
Journal of Global Optimization
1
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ECONIS (ZBW)
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1
A simple planning problem for COVID-19 lockdown : a dynamic programming approach
Calvia, Alessandro
;
Gozzi, Fausto
;
Lippi, Francesco
; …
- In:
Economic theory
77
(
2024
)
1/2
,
pp. 169-196
Persistent link: https://www.econbiz.de/10014552687
Saved in:
2
Optimal dividends for a two-dimensional risk model with simultaneous ruin of both branches
Strietzel, Philipp Lukas
;
Heinrich, Henriette Elisabeth
- In:
Risks : open access journal
10
(
2022
)
6
,
pp. 1-23
viscosity
solution of said HJB equation, satisfying certain growth conditions. Under some additional assumptions, we show that …
Persistent link: https://www.econbiz.de/10013363123
Saved in:
3
Optimal investment decision under switching regimes of subsidy support
Oliveira, Carlos
;
Perkowski, Nicolas
- In:
European journal of operational research : EJOR
285
(
2020
)
1
,
pp. 120-132
Persistent link: https://www.econbiz.de/10012239489
Saved in:
4
On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration
Backhoff-Veraguas, Julio
;
Tangpi, Ludovic
- In:
Mathematics and financial economics
14
(
2020
)
3
,
pp. 433-460
Persistent link: https://www.econbiz.de/10012240302
Saved in:
5
Internal habits formation and optimality
Bambi, Mauro
;
Gozzi, Fausto
- In:
Journal of mathematical economics
91
(
2020
),
pp. 165-172
Persistent link: https://www.econbiz.de/10012801341
Saved in:
6
Regularity properties in a state-constrained expected utility maximization problem
Lazgham, Mourad
- In:
Mathematical methods of operations research
88
(
2018
)
2
,
pp. 185-240
Persistent link: https://www.econbiz.de/10011935660
Saved in:
7
Stochastic target games and dynamic programming via regularized
viscosity
solutions
Bouchard, Bruno
;
Nutz, Marcel
- In:
Mathematics of operations research
41
(
2016
)
1
,
pp. 109-124
Persistent link: https://www.econbiz.de/10011448306
Saved in:
8
Optimal risk control under marked point processes shocks : a dynamic programming duality approach
Mnif, Mohamed
- In:
International journal of theoretical and applied finance
16
(
2013
)
7
,
pp. 1-45
Persistent link: https://www.econbiz.de/10010233243
Saved in:
9
Value function of differential games without Isaacs conditions : an approach with nonanticipative mixed strategies
Buckdahn, Rainer
;
Li, Juan
;
Quincampoix, Marc
- In:
International journal of game theory : official journal …
42
(
2013
)
4
,
pp. 989-1020
Persistent link: https://www.econbiz.de/10010196083
Saved in:
10
Financing policies via stochastic control: a dynamic programming approach
Cerqueti, Roy
- In:
Journal of Global Optimization
53
(
2012
)
3
,
pp. 539-561
Persistent link: https://www.econbiz.de/10010845798
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