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A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization
Andersson, Daniel; Djehiche, Boualem - In: Mathematical methods of operations research 72 (2010) 2, pp. 273-310
Persistent link: https://www.econbiz.de/10008696632
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On one-dimensional stochastic control problems : applications to investment models
Josa-Fombellida, Ricado; Rincón-Zapatero, Juan Pablo - 2008
Persistent link: https://www.econbiz.de/10003970305
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Optimales Preissetzungsverhalten von Banken am Markt für Zertifikate
Fuchs, Björn - 2011
Persistent link: https://www.econbiz.de/10008860275
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Optimal control of nonlinear dynamic econometric models : an algorithm and an application
Blüschke-Nikolaeva, Viktoria; Blüschke, Dmitri; Neck, … - 2010
Persistent link: https://www.econbiz.de/10008906919
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Optimale Kontrolle ökonomischer Prozesse : Anwendungen des Maximumprinzips in den Wirtschaftswissenschaften
Feichtinger, Gustav; Hartl, Richard F. - 1986
Persistent link: https://www.econbiz.de/10008731551
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Control of diffusions via linear programming
Han, Jiarui; Van Roy, Benjamin - In: Stochastic programming : the state of the art ; in …, (pp. 329-353). 2011
Persistent link: https://www.econbiz.de/10008798646
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Optimal securitization of credit portfolios via impulse control
Frey, Rüdiger; Seydel, Roland C. - In: Mathematics and financial economics 4 (2010) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10008807103
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A computational method for stochastic impulse control problems
Feng, Haolin; Muthuraman, Kumar - In: Mathematics of operations research 35 (2010) 4, pp. 830-850
Persistent link: https://www.econbiz.de/10008823135
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Numerical solution of optimal control problems with constant control delays
Brandt-Pollmann, Ulrich; Winkler, Ralph; Sager, Sebastian; … - In: Computational economics 31 (2008) 2, pp. 181-206
Persistent link: https://www.econbiz.de/10003686033
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A risk-sensitive stochastic control approach to an optimal investment problem with partial information
Hata, Hiroaki; Iida, Yasunari - In: Finance and stochastics 10 (2006) 3, pp. 395-426
Persistent link: https://www.econbiz.de/10003380023