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Optimal liquidation under stochastic price impact
Barger, Weston; Lorig, Matthew - In: International journal of theoretical and applied finance 22 (2019) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10012012935
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Incorporating signals into optimal trading
Lehalle, Charles-Albert; Neuman, Eyal - In: Finance and stochastics 23 (2019) 2, pp. 275-311
Persistent link: https://www.econbiz.de/10012023738
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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
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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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How do loyalty programs affect goodwill? : an optimal control approach
Górajski, Mariusz; Machowska, Dominika - In: 4OR : a quarterly journal of operations research 17 (2019) 3, pp. 297-316
Persistent link: https://www.econbiz.de/10012109164
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ATTRIVAR : optimized control charts to monitor process mean with lower operational cost
Ho, Linda Lee; Aparisi, Francisco - In: International journal of production economics 182 (2016), pp. 472-483
Persistent link: https://www.econbiz.de/10011622124
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A stochastic control approach to option market making
El Aoud, Sofiene; Abergel, Frédéric - In: Market microstructure and liquidity 1 (2015) 1, pp. 1-43
Persistent link: https://www.econbiz.de/10011588196
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Minimizing the probability of lifetime drawdown under constant consumption
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. - In: Insurance / Mathematics & economics 69 (2016), pp. 210-223
Persistent link: https://www.econbiz.de/10011533908
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Hierarchical coordinated control of a multi-procedure CSPS system by learning optimisation methods
Hao, Tang; Wang, Chao; Matsui, Masayuki; Liu, Bing - In: International journal of production research 53 (2015) 7, pp. 2055-2072
Persistent link: https://www.econbiz.de/10010510151
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Optimal control indicators for the assessment of the influence of approximate optimal feedback in the baseline RBC model
Kollias, Iraklis - In: International journal of sustainable economies … 3 (2014) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10010511514