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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

Approximating the solution of stochastic optimal control problems and the Merton's portfolio selection model

Kafash, Behzad - In: Computational economics 54 (2019) 2, pp. 763-782

Persistent link: https://www.econbiz.de/10012134353

A numerical algorithm for the coupled PDEs control problem

Yuan, Gonglin; Li, Xiangrong - In: Computational economics 53 (2019) 2, pp. 697-707

Persistent link: https://www.econbiz.de/10012134850

Lost in translation : explicitly solving nonlinear stochastic optimal control problems using the median objective value

Savin, Ivan; Blueschke, Dmitri - In: Computational economics 48 (2016) 2, pp. 317-338

Persistent link: https://www.econbiz.de/10011646783

Risk management of interest rate derivative portfolios : a stochastic control approach

Kiriakopoulos, Konstantinos; Koulis, Alexandros - In: Journal of risk and financial management : JRFM 7 (2014) 4, pp. 130-149

In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic portfolio optimization problem. The utility that we use can be any continuous function and based on the viscosity theory, the unique solution of the problem is guaranteed. The...

Persistent link: https://www.econbiz.de/10011552973

Economic study of problems of depletion of several interrelated non-renewable resources

García-Rubio, Raquel; Bayón, L.; Otero, J. A.; … - In: Computational economics 48 (2016) 3, pp. 503-521

Persistent link: https://www.econbiz.de/10011712530

Numerical solution of optimal control problems with constant control delays

Brandt-Pollmann, Ulrich; Winkler, Ralph; Sager, Sebastian; … - In: Computational economics 31 (2008) 2, pp. 181-206

Persistent link: https://www.econbiz.de/10003686033

A numerical method for solving stochastic optimal control problems with linear control

Chavanasporn, Walailuck; Ewald, Christian-Oliver - In: Computational economics 39 (2012) 4, pp. 429-446

Persistent link: https://www.econbiz.de/10009540913

OPTCON3 : an active learning control algorithm for nonlinear quadratic stochastic problems

Blueschke-Nikolaeva, V.; Blueschke, D.; Neck, Reinhard - In: Computational economics 56 (2020) 1, pp. 145-162

Persistent link: https://www.econbiz.de/10012272022

An evolutionary approach to passive learning in optimal control problems

Blueschke, D.; Savin, I.; Blueschke-Nikolaeva, V. - In: Computational economics 56 (2020) 3, pp. 659-673

Persistent link: https://www.econbiz.de/10012390419