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Optimal control of Markovian jump processes with partial information and applications to a parallel queueing model

Rieder, Ulrich; Winter, Jens Thorsten - In: Mathematical methods of operations research 70 (2009) 3, pp. 567-596

Persistent link: https://www.econbiz.de/10003909317

A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization

Andersson, Daniel; Djehiche, Boualem - In: Mathematical methods of operations research 72 (2010) 2, pp. 273-310

Persistent link: https://www.econbiz.de/10008696632

Constrained continuous-time Markov decision processes with average criteria

Zhang, Lanlan; Guo, Xianping - In: Mathematical methods of operations research 67 (2008) 2, pp. 323-340

Persistent link: https://www.econbiz.de/10003681574

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

Monte Carlo methods via a dual approach for some discrete time stochastic control problems

Gyurkó, Lajos Gergely; Hambly, Ben M.; Witte, Jan Hendrik - In: Mathematical methods of operations research 81 (2015) 1, pp. 109-135

Persistent link: https://www.econbiz.de/10010488925

On the single-leg airline revenue management problem in continuous time

Arslan, A. Muzaffer; Frenk, Johannes G.; Sezer, Semih O. - In: Mathematical methods of operations research 81 (2015) 1, pp. 27-52

Persistent link: https://www.econbiz.de/10010488935

An optimal investment strategy with maximal risk aversion and its ruin probability

Fernández, Begoña; Hernández-Hernández, Daniel; … - In: Mathematical methods of operations research 68 (2008) 1, pp. 159-179

Persistent link: https://www.econbiz.de/10003748390

Dynamic mean-variance problem with constrained risk control for the insurers

Bai, Lihua; Zhang, Huayue - In: Mathematical methods of operations research 68 (2008) 1, pp. 181-205

Persistent link: https://www.econbiz.de/10003748393

Optimizing venture capital investments in a jump diffusion model

Bayraktar, Erhan; Egami, Masahiko - In: Mathematical methods of operations research 67 (2008) 1, pp. 21-42

Persistent link: https://www.econbiz.de/10003643541

Stochastic control problems with delay

Bauer, Harald; Rieder, Ulrich - In: Mathematical methods of operations research 62 (2005) 2, pp. 411-427

Persistent link: https://www.econbiz.de/10003232697