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An optimal time control problem for the one-dimensional, lineat heat equation, in the presence of a scaling parameter

Benalia, Karim; David, Claire; Oukacha, Brahim - In: RAIRO / Operations research 51 (2017) 4, pp. 1289-1299

Persistent link: https://www.econbiz.de/10011859836

An Algorithmic approach to optimal asset liquidation problems

Hinz, Juri; Yee, Jeremy - In: Asia-Pacific financial markets 24 (2017) 2, pp. 109-129

Persistent link: https://www.econbiz.de/10011797615

Optimal trade execution under endogenous pressure to liquidate : theory and numerical solutions

Brunovský, Pavol; Černý, Aleš; Komadel, Ján - In: European journal of operational research : EJOR 264 (2018) 3, pp. 1159-1171

Persistent link: https://www.econbiz.de/10011802354

Royalties, entry, and spectrum allocation to the broadcasting industry

Caputo, Michael R.; Freyens, Benoit Pierre - In: Journal of public economic theory 19 (2017) 6, pp. 1118-1135

Persistent link: https://www.econbiz.de/10011802714

Optimal control theory : applications to management science and economics

Sethi, Suresh P. - 2019 - Third edition

Persistent link: https://www.econbiz.de/10011919153

Numerical methods in financial and actuarial applications : a stochastic maximum principle approach

Di Giacinto, Marina - In: Journal of mathematical finance 8 (2018) 2, pp. 283-301

Persistent link: https://www.econbiz.de/10011874735

A note on optimal expected utility of dividend payments with proportional reinsurance

Liang, Xiaoqing; Palmowski, Zbigniew - In: Scandinavian actuarial journal (2018) 4, pp. 275-293

Persistent link: https://www.econbiz.de/10011881090

Stochastic decomposition applied to large-scale hydro valleys management

Carpentier, P.; Chancelier, J.-Ph.; Leclère, V.; Pacaud, F. - In: European journal of operational research : EJOR 270 (2018) 3, pp. 1086-1098

Persistent link: https://www.econbiz.de/10011882701

The Italian pension gap : a stochastic optimal control approach

Milazzo, Alessandro; Vigna, Elena - In: Risks : open access journal 6 (2018) 2, pp. 1-20

We study the gap between the state pension provided by the Italian pension system pre-Dini reform and post-Dini reform. The goal is to fill the gap between the old and the new pension by joining a defined contribution pension scheme and adopting an optimal investment strategy that is...

Persistent link: https://www.econbiz.de/10011866511

Infinite-horizon average optimality of the N-network in the Halfin-Whitt regime

Arapostathis, Ari; Pang, Guodong - In: Mathematics of operations research 43 (2018) 3, pp. 838-866

Persistent link: https://www.econbiz.de/10011914370