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A computational method for stochastic impulse control problems
Feng, Haolin; Muthuraman, Kumar - In: Mathematics of operations research 35 (2010) 4, pp. 830-850
Persistent link: https://www.econbiz.de/10008823135
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Optimal control of a Brownian production/inventory system with average cost criterion
Wu, Jingchen; Chao, Xiuli - In: Mathematics of operations research 39 (2014) 1, pp. 163-189
Persistent link: https://www.econbiz.de/10010345217
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Game of singular stochastic control and strategic exit
Kwon, H. Dharma; Zhang, Hongzhong - In: Mathematics of operations research 40 (2015) 4, pp. 869-887
Persistent link: https://www.econbiz.de/10011408931
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A mixed value and policy iteration method for stochastic control with universally measurable policies
Yu, Huizhen; Bertsekas, Dimitri P. - In: Mathematics of operations research 40 (2015) 4, pp. 926-968
Persistent link: https://www.econbiz.de/10011409000
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An explicit solution of a nonlinear-quadratic constrained stochastic control problem with jumps : optimal liquidation in dark pools with adverse selection
Kratz, Peter - In: Mathematics of operations research 39 (2014) 4, pp. 1198-1220
Persistent link: https://www.econbiz.de/10010462146
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Strong and weak equilibria for time-inconsistent stochastic control in continuous time
Huang, Yu-Jui; Zhou, Zhou - In: Mathematics of operations research 46 (2021) 2, pp. 428-451
Persistent link: https://www.econbiz.de/10012582175
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Future expectations modeling, random coefficient forward-backward stochastic differential equations, and stochastic viscosity solutions
Kartala, Xanthi-Isidora; Englezos, Nikolaos; … - In: Mathematics of operations research 45 (2020) 2, pp. 403-433
Persistent link: https://www.econbiz.de/10012242504
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A solvable two-dimensional degenerate singular stochastic control problem with nonconvex costs
De Angelis, Tiziano; Ferrari, Giorgio; Moriarty, John - In: Mathematics of operations research 44 (2019) 2, pp. 512-531
Persistent link: https://www.econbiz.de/10012028632
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Nonzero-sum stochastic differential games with impulse controls : a verification theorem with applications
Aïd, René; Basei, Matteo; Callegaro, Giorgia; Campi, … - In: Mathematics of operations research 45 (2020) 1, pp. 205-232
Persistent link: https://www.econbiz.de/10012183035
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Optimal boundary surface for irreversible investment with stochastic costs
De Angelis, Tiziano; Federico, Salvatore; Ferrari, Giorgio - In: Mathematics of operations research 42 (2017) 4, pp. 1135-1161
Persistent link: https://www.econbiz.de/10011773311