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A maximum principle for control problems with monotonicity constraints
Hellwig, Martin (contributor) - 2008
The paper develops a version of Pontryagin's maximum principle for optimal control problems with monotonicity constraints on control variables. Whereas the literature handles such constraints by imposing an assumption of piecewise smoothness on the control variable and treating the slope of this...
Persistent link: https://www.econbiz.de/10003730601
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An augmented first-order approach for incentive problems
Renner, Philipp - 2020
Persistent link: https://www.econbiz.de/10012221873
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Distributionally robust optimal control and MDP modeling
Shapiro, Alexander - In: Operations research letters 49 (2021) 5, pp. 809-814
Persistent link: https://www.econbiz.de/10013207452
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Distributionally robust modeling of optimal control
Shapiro, Alexander - In: Operations research letters 50 (2022) 5, pp. 561-567
Persistent link: https://www.econbiz.de/10013449446
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Dynamic programming approach to principal-agent problems
Cvitanić, Jakša; Possamaï, Dylan; Touzi, Nizar - In: Finance and stochastics 22 (2018) 1, pp. 1-37
Persistent link: https://www.econbiz.de/10011945612
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Optimal execution of accelerated share repuchase contracts with fixed notional
Guéant, Olivier - In: Journal of risk 19 (2017) 5, pp. 77-99
Persistent link: https://www.econbiz.de/10011747118
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The impact of firm size on dynamic incentives and investment
Chi, Chang-Koo; Choi, Kyoung Jin - In: The Rand journal of economics 48 (2017) 1, pp. 147-177
Persistent link: https://www.econbiz.de/10011665515
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Dynamic optimization and mathematical economics
Liu, Pan-Tai (ed.) - 1980
Persistent link: https://www.econbiz.de/10000050325
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Dynamic programming approach to infinite horizon deterministic continuous time control problems
Seierstad, Atle - 1997
Persistent link: https://www.econbiz.de/10000962926