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A maximum principle for Markov regime-switching forward-backward stochastic differential games and applications
Menoukeu-Pamen, Olivier; Momeya, Romuald Hervé - In: Mathematical methods of operations research 85 (2017) 3, pp. 349-388
Persistent link: https://www.econbiz.de/10011714509
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Optimal mean-variance investment/reinsurance withcommon shock in a regime-switching market
Bi, Junna; Liang, Zhibin; Yuen, Kam Chuen - In: Mathematical methods of operations research 90 (2019) 1, pp. 109-135
Persistent link: https://www.econbiz.de/10012116630
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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
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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
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Dynamic inventory strategies for profit maximization in a service facility with stochastic service, demand and lead time
Berman, Oded; Kim, Eungab - In: Mathematical methods of operations research 60 (2004) 3, pp. 497-521
Persistent link: https://www.econbiz.de/10002519878
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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
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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
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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
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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
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Optimal portfolio selection when stock prices follow an jump-diffusion process
Guo, Wenjing; Xu, Chengming - In: Mathematical methods of operations research 60 (2004) 3, pp. 485-496
Persistent link: https://www.econbiz.de/10002519857