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On stochastic optimization problems and an application in finance
Strini, Josef Anton - 2019
Josef Anton Strini analyzes a special stochastic optimal control problem. The problem under study arose from a dynamic … numerically. Contents Optimal Control of Markov Processes A Singular Stochastic Control Problem Dynamic Programming Approach and …
Persistent link: https://www.econbiz.de/10011983766
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Stochastic technology life cycle analysis using multiple patent indicators
Lee, Changyong; Kim, Juram; Kwon, Ohjin; Woo, Han-Gyun - In: Technological forecasting & social change : an … 106 (2016), pp. 53-64
Persistent link: https://www.econbiz.de/10011609990
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Constrained continuous-time Markov decision processes with average criteria
Zhang, Lanlan; Guo, Xianping - In: Mathematical methods of operations research 67 (2008) 2, pp. 323-340
Persistent link: https://www.econbiz.de/10003681574
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The stochastic lake game : a numerical solution
Dechert, W. Davis (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003229344
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A quartet of semigroups for model specification, robustness, prices of risk, and model detection
Anderson, Ewan W.; Hansen, Lars Peter; Sargent, Thomas J. - In: Journal of the European Economic Association 1 (2003) 1, pp. 68-123
Persistent link: https://www.econbiz.de/10001777218
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The stochastic lake game : a numerical solution
Dechert, W. Davis; O'Donnell, Sharon I. - In: Journal of economic dynamics & control 30 (2006) 9/10, pp. 1569-1587
Persistent link: https://www.econbiz.de/10003370339
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Optimal control of linear systems with time varying drift parameters : the Guassian case
Christopeit, Norbert - 1996
Persistent link: https://www.econbiz.de/10000986515
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Effect of feedback on eBay sellers' business using Markov Chain
Dib, Y. M.; Roumieh, N.; Saab, G.; Maroun, M. - In: Journal of mathematical finance 9 (2019) 3, pp. 325-344
Persistent link: https://www.econbiz.de/10012210203
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Stochastic optimal control : the discrete-time case
Bertsekas, Dimitri P.; Shreve, Steven E. - 1996 - [Reprint]
Persistent link: https://www.econbiz.de/10000633414
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Optimality of deterministic policies for certain stochastic control problems with multiple criteria and constraints
Feinberg, Eugene A. - In: Mathematical control theory and finance, (pp. 137-148). 2008
Persistent link: https://www.econbiz.de/10003755590