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Carleman linearization of linearly observable polynomial systems
Mozyrska, Dorota; Bartosiewicz, Zbigniew - In: Mathematical control theory and finance, (pp. 311-323). 2008
Persistent link: https://www.econbiz.de/10003755886
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Finite-difference discretizations of quadratic control problems governed by ordinary elliptic differential equations
Alt, Walter; Bräutigam, Nils - In: Computational optimization and applications : an … 43 (2009) 1, pp. 133-150
Persistent link: https://www.econbiz.de/10003860215
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Controlled stochastic differential equations under Poisson uncertainty and with unbounded utility
Sennewald, Ken - In: Journal of economic dynamics & control 31 (2007) 4, pp. 1106-1131
Persistent link: https://www.econbiz.de/10003443356
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A generalized Neyman-Pearson lemma for g-probabilities
Ji, Shaolin; Zhou, Xun Yu - In: Probability theory and related fields 148 (2010) 3/4, pp. 645-669
Persistent link: https://www.econbiz.de/10008649933
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Analytical methods in economics
Takayama, Akira - 2000 - [Nachdr.]
Persistent link: https://www.econbiz.de/10003964633
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Some new BSDE results for an infinite-horizon stochastic control problem
Hu, Ying; Schweizer, Martin - In: Advanced mathematical methods for finance, (pp. 367-395). 2011
Persistent link: https://www.econbiz.de/10008991281
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A general maximum principle for anticipative stochastic control and applications to insider trading
Di Nunno, Giulia; Pamen, Olivier Menoukeu; Øksendal, … - In: Advanced mathematical methods for finance, (pp. 181-221). 2011
Persistent link: https://www.econbiz.de/10008991293
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When to cross the spread : curve following with singular control
Naujokat, Felix; Horst, Ulrich - 2011
maximum principle ; Convex analysis ; Fully coupled forward backward stochastic differential equations ; Trading in illiquid …
Persistent link: https://www.econbiz.de/10009266861
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Optimal control of an energy storage facility under a changing economic environment and partial information
Shardin, Anton A.; Szölgyenyi, Michaela - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-27
Persistent link: https://www.econbiz.de/10011523933
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Backward stochastic differential equations and stochastic controls : a new perspective
Kohlmann, Michael; Zhou, Xun Yu - 1999
It is well known that backward stochastic differential equations (BSDEs) stem from the study on the Pontryagin type maximum principle for optional stochastic control. A solution of a BSDE hits a given terminal value (which is a random variable) by virtue of an additional martingale term and an...
Persistent link: https://www.econbiz.de/10011543852