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A duality approach to continuous-time contracting problems with limited commitment

Miao, Jianjun; Zhang, Yuzhe - In: Journal of economic theory 159 (2015), pp. 929-988

Persistent link: https://www.econbiz.de/10011549299

Utility maximization with current utility on the wealth : regularity of solutions to the HJB equation

Federico, Salvatore; Gassiat, Paul; Gozzi, Fausto - In: Finance and stochastics 19 (2015) 2, pp. 415-448

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Augmented Lagrangian methods for solving optimation problems with stochastic-order constraints

Dentcheva, Darinka; Martinez, Gabriela; Wolfhagen, Eli - In: Operations research 64 (2016) 6, pp. 1451-1465

Persistent link: https://www.econbiz.de/10011620703

A note on appointment scheduling with piecewise linear cost functions

Ge, Dongdong; Wan, Guohua; Wang, Zizhuo; Zhang, Jiawei - In: Mathematics of operations research 39 (2014) 4, pp. 1244-1251

Persistent link: https://www.econbiz.de/10010462130

Options portfolio selection

Guasoni, Paolo; Mayerhofer, Eberhard - In: Operations research 68 (2020) 3, pp. 733-740

Persistent link: https://www.econbiz.de/10012234441

Discretizing nonlinear, non-Gaussian Markov processes with exact conditional moments

Farmer, Leland E.; Akira Toda, Alexis - In: Quantitative economics : QE ; journal of the … 8 (2017) 2, pp. 651-683

Approximating stochastic processes by finite-state Markov chains is useful for reducing computational complexity when solving dynamic economic models. We provide a new method for accurately discretizing general Markov processes by matching low order moments of the conditional distributions using...

Persistent link: https://www.econbiz.de/10011801601

Discretizing nonlinear, non-Gaussian Markov processes with exact conditional moments

Farmer, Leland E.; Akira Toda, Alexis - In: Quantitative economics : QE ; journal of the … 8 (2017) 2, pp. 651-683

Persistent link: https://www.econbiz.de/10011804924

Optimal stopping under uncertainty in drift and jump intensity

Krätschmer, Volker; Ladkau, Marcel; Laeven, Roger J. A.; … - In: Mathematics of operations research 43 (2018) 4, pp. 1177-1209

Persistent link: https://www.econbiz.de/10011956978

Multidimensional investment problem

Christensen, Sören; Salminen, Paavo - In: Mathematics and financial economics 12 (2018) 1, pp. 75-95

Persistent link: https://www.econbiz.de/10011963303

Optimality and duality in constrained interval-valued optimization

Luu, Do Van; Mai, Tran Thi - In: 4OR : a quarterly journal of operations research 16 (2018) 3, pp. 311-337

Persistent link: https://www.econbiz.de/10011921959