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Kontrolltheorie
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Mathematische Optimierung
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Maximum Principle
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stochastic maximum principle
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Aase, Knut K.
6
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6
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3
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3
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2
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2
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2
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RePEc
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EconStor
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USB Cologne (business full texts)
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Optimal control of an infinite-dimensional problem with a state constraint arising in the spatial economic growth theory
Boucekkine, Raouf
;
Camacho, Carmen
;
Ruan, Weihua
-
2024
Persistent link: https://www.econbiz.de/10014575633
Saved in:
2
Strong solutions to submodular mean field games with common noise and related McKean-Vlasov FBSDES
Dianetti, Jodi
-
2023
-backward stochastic differential equations deriving from the stochastic
maximum
principle
. We first propose some structural conditions … known Lasry-Lions monotonicity. By reformulating the representative player minimization problem via the stochastic
maximum
…
principle
, the submodularity conditions allow to prove comparison principles for the forward-backward system, which correspond …
Persistent link: https://www.econbiz.de/10014374389
Saved in:
3
Linear-quadratic-singular stochastic differential games and applications
Dianetti, Jodi
-
2023
We consider a class of non-cooperative N-player non-zero-sum stochastic differential games with singular controls, in which each player can affect a linear stochastic differential equation in order to minimize a cost functional which is quadratic in the state and linear in the control. We call...
Persistent link: https://www.econbiz.de/10014374580
Saved in:
4
Strong solutions to submodular mean field games with common noise and related McKean-Vlasov FBSDES
Dianetti, Jodi
-
2023
-backward stochastic differential equations deriving from the stochastic
maximum
principle
. We first propose some structural conditions … known Lasry-Lions monotonicity. By reformulating the representative player minimization problem via the stochastic
maximum
…
principle
, the submodularity conditions allow to prove comparison principles for the forward-backward system, which correspond …
Persistent link: https://www.econbiz.de/10013483724
Saved in:
5
Linear-quadratic-singular stochastic differential games and applications
Dianetti, Jodi
-
2023
We consider a class of non-cooperative N-player non-zero-sum stochastic differential games with singular controls, in which each player can affect a linear stochastic differential equation in order to minimize a cost functional which is quadratic in the state and linear in the control. We call...
Persistent link: https://www.econbiz.de/10014277006
Saved in:
6
Nonzero-sum submodular monotone-follower games: Existence and approximation of Nash equilibria
Dianetti, Jodi
;
Ferrari, Giorgio
-
2019
We consider a class of N-player stochastic games of multi-dimensional singular control, in which each player faces a minimization problem of monotone-follower type with submodular costs. We call these games monotone-follower games. In a not necessarily Markovian setting, we establish the...
Persistent link: https://www.econbiz.de/10012042144
Saved in:
7
Optimal investment with vintage capital : equilibrium distributions
Faggian, Silvia
;
Gozzo, Fausto
;
Kort, Peter M.
-
2019
Persistent link: https://www.econbiz.de/10012005390
Saved in:
8
Nonzero-sum submodular monotone-follower games : existence and approximation of nash equilibria
Dianetti, Jodi
;
Ferrari, Giorgio
-
2019
We consider a class of N-player stochastic games of multi-dimensional singular control, in which each player faces a minimization problem of monotone-follower type with submodular costs. We call these games monotone-follower games. In a not necessarily Markovian setting, we establish the...
Persistent link: https://www.econbiz.de/10011952598
Saved in:
9
Blow up of the solutions to a linear elliptic system involving Schrödinger operators
Alziary, Bénédicte
;
Fleckinger, Jacqueline
-
2017
Persistent link: https://www.econbiz.de/10012265747
Saved in:
10
Recursive utility and jump-diffusions
Aase, Knut K.
-
Institutt for foretaksøkonomi, Norges Handelshøyskole …
-
2015
substitution, and use the stochastic
maximum
principle
to analyze the model. This method uses forward/backward stochastic …
Persistent link: https://www.econbiz.de/10011145559
Saved in:
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