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Search: subject:"Riccati equation"
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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
2
Backward stochastic Riccati equation
2
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Undetermined
23
Free
21
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Article
27
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21
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Article in journal
14
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7
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7
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English
24
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Balvers, Ronald J.
5
Chatelain, Jean-Bernard
5
Mitchell, Douglas W.
5
Ralf, Kirsten
5
Kohlmann, Michael
4
Yao, D.D.
4
Zhou, X.Y.
4
Tang, Shanjian
3
Bai, Lihua
2
Grosset, Luca
2
Guidolin, Mariangela
2
Guseo, Renato
2
Rigatos, Gerasimos G.
2
Sbrana, Giacomo
2
Shen, Yang
2
Siu, Tak Kuen
2
Xepapadeas, Anastasios
2
Zhang, Huayue
2
Zhang, S.
2
Zhang, Zhang, S.
2
Ata, Barış
1
BIELECKI, TOMASZ R.
1
Barjesteh, Nasser
1
Belishev, M
1
Benahmed, Boubakeur
1
Brock, W.
1
Brock, William
1
Brock, William A.
1
Buratto, Alessandra
1
Callegaro, Giorgia
1
Deng, Zili
1
Gatheral, Jim
1
Ghosh, T.
1
Ghosh, Taniya
1
Glasman, A
1
Grasselli, Martino
1
Hayashi, Tadashi
1
Ivanov, I.
1
Ivanov, Ivelin G.
1
Jamshidian, F.
1
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Erasmus University Rotterdam, Econometric Institute
2
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
2
Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
1
Department of Economics, College of Business and Economics
1
Department of International and European Economic Studies, Athens University of Economics and Business (AUEB)
1
Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft (ZBW)
1
HAL
1
Tinbergen Institute
1
Tinbergen Instituut
1
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
1
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CoFE discussion papers
4
Operations research letters
3
Econometric Institute Report
2
Econometric Institute Research Papers
2
Tinbergen Institute Discussion Papers
2
Applied Mathematical Finance
1
Asia-Pacific Financial Markets
1
CefES paper series
1
Central European Journal of Operations Research
1
Computational Statistics
1
Computational Statistics & Data Analysis
1
Computational economics
1
DEOS Working Papers
1
Discussion paper / Tinbergen Institute
1
Documents de travail du Centre d'Economie de la Sorbonne
1
Dynamic Games and Applications
1
Dynamic games and applications : DGA
1
EconStor Preprints
1
Finance and stochastics
1
Finance research letters
1
IMA journal of management mathematics
1
International Journal of Theoretical and Applied Finance (IJTAF)
1
International journal of financial engineering
1
International journal of production economics
1
Journal of Global Optimization
1
Journal of mathematical finance
1
MPRA Paper
1
Mathematical Methods of Operations Research
1
Mathematics and Computers in Simulation (MATCOM)
1
Mathematics of operations research
1
Operations research
1
Physica A: Statistical Mechanics and its Applications
1
Post-Print / HAL
1
Quantitative finance and economics
1
Statistical Methods and Applications
1
TOP: An Official Journal of the Spanish Society of Statistics and Operations Research
1
Tinbergen Institute Discussion Paper
1
Working Papers / Department of Economics, College of Business and Economics
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RePEc
25
ECONIS (ZBW)
21
EconStor
2
Showing
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10
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48
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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
A nonlinear optimal control approach to stabilization of a macroeconomic development model
Rigatos, Gerasimos G.
;
Siano, Pierluigi
;
Ghosh, Taniya
; …
- In:
Quantitative finance and economics
2
(
2018
)
2
,
pp. 373-387
Persistent link: https://www.econbiz.de/10012156666
Saved in:
5
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:
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
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:
8
Forecasting with the damped trend model using the structural approach
Sbrana, Giacomo
;
Silvestrini, Andrea
- In:
International journal of production economics
226
(
2020
),
pp. 1-9
Persistent link: https://www.econbiz.de/10012294776
Saved in:
9
A nonlinear optimal control approach to stabilization of business cycles of finance agents
Rigatos, Gerasimos G.
;
Siano, P.
;
Ghosh, T.
- In:
Computational economics
53
(
2019
)
3
,
pp. 1111-1131
Persistent link: https://www.econbiz.de/10012135115
Saved in:
10
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
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