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Integro-differential optimality equations for the risk-sensitive control of piecewise deterministic Markov processes
Costa, Oswaldo Luiz do Valle
;
Dufour, François
- In:
Mathematical methods of operations research : ZOR
93
(
2021
)
2
,
pp. 327-357
Persistent link: https://www.econbiz.de/10012548532
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2
Optimal control of an objective functional with non-linearity between the conditional expectations : solutions to a class of time-inconsistent portfolio problems
Kryger, Esben
;
Nordfang, Maj-Britt
;
Steffensen, Mogens
- In:
Mathematical methods of operations research : ZOR
91
(
2020
)
3
,
pp. 405-438
Persistent link: https://www.econbiz.de/10012301603
Saved in:
3
The two-dimensional tree-grid method
Kossaczký, Igor
;
Ehrhardt, Matthias
;
Günther, Michael
- In:
The journal of computational finance
23
(
2019
)
2
,
pp. 29-57
Persistent link: https://www.econbiz.de/10012111259
Saved in:
4
E-monotone Fourier methods for optimal stochastic control in finance
Forsyth, Peter A.
;
Labahn, George
- In:
The journal of computational finance
22
(
2018/2019
)
4
,
pp. 25-71
Persistent link: https://www.econbiz.de/10012042218
Saved in:
5
Robust classical-impulse stochastic control problems in an infinite horizon
Pun, Chi Seng
- In:
Mathematical methods of operations research : ZOR
96
(
2022
)
2
,
pp. 291-312
Persistent link: https://www.econbiz.de/10013455036
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