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~subject:"Stochastischer Prozess"
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Search: subject:"Riccati equation"
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Stochastischer Prozess
Riccati equation
25
Stochastic process
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
2
Backward stochastic Riccati equation
2
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English
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Kohlmann, Michael
4
Tang, Shanjian
3
Ata, Barış
1
Barjesteh, Nasser
1
Brock, William A.
1
Callegaro, Giorgia
1
Gatheral, Jim
1
Grasselli, Martino
1
Keller-Ressel, Martin
1
Lan, Xinchen
1
Liang, Yanzi
1
Lin, Hongcan
1
Lu, Zheng
1
Pagès, Gilles
1
Pelagatti, Matteo
1
Perera, Ryle S.
1
Saunders, David M.
1
Sbrana, Giacomo
1
Shen, Yang
1
Siu, Tak Kuen
1
Vásquez, Óscar C.
1
Weng, Chengguo
1
Xepapadeas, Anastasios
1
Yang, Liu
1
Yannacopoulos, Athanasios N.
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Zhang, Xin
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Zhou, Xun Yu
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CoFE discussion papers
4
Operations research letters
3
CefES paper series
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Dynamic games and applications : DGA
1
Finance and stochastics
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Finance research letters
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International journal of financial engineering
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ECONIS (ZBW)
14
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1
Nonparametric statistical inference for stochastic optimal control problems and its applications for financial investment
Yang, Liu
;
Liang, Yanzi
;
Lan, Xinchen
;
Lu, Zheng
- In:
Finance research letters
64
(
2024
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014531668
Saved in:
2
An approximate analysis of dynamic pricing, outsourcing, and scheduling policies for a multiclass make-to-stock queue in the heavy traffic regime
Ata, Barış
;
Barjesteh, Nasser
- In:
Operations research
71
(
2023
)
1
,
pp. 341-357
Persistent link: https://www.econbiz.de/10014308524
Saved in:
3
Estimating high dimensional multivariate stochastic volatility models
Pelagatti, Matteo
;
Sbrana, Giacomo
-
2020
Persistent link: https://www.econbiz.de/10012318391
Saved in:
4
Fast hybrid schemes for fractional Riccati equations (rough is not so tough)
Callegaro, Giorgia
;
Grasselli, Martino
;
Pagès, Gilles
- In:
Mathematics of operations research
46
(
2021
)
1
,
pp. 221-254
Persistent link: https://www.econbiz.de/10012498120
Saved in:
5
Provisions for bank deposit withdrawals and portfolio selection
Perera, Ryle S.
- In:
International journal of financial engineering
7
(
2020
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10012602666
Saved in:
6
BSDE approach to utility maximization with square-root factor processes
Lin, Hongcan
;
Saunders, David M.
;
Weng, Chengguo
- In:
Operations research letters
48
(
2020
)
2
,
pp. 130-135
Persistent link: https://www.econbiz.de/10012254025
Saved in:
7
Affine forward variance models
Gatheral, Jim
;
Keller-Ressel, Martin
- In:
Finance and stochastics
23
(
2019
)
3
,
pp. 501-533
Persistent link: https://www.econbiz.de/10012023754
Saved in:
8
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
Saved in:
9
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
Saved in:
10
Robust control and hot spots in spatiotemporal economic systems
Brock, William A.
;
Xepapadeas, Anastasios
; …
- In:
Dynamic games and applications : DGA
4
(
2014
)
3
,
pp. 257-289
Persistent link: https://www.econbiz.de/10010416815
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