//--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~isPartOf:"Finance and stochastics"
~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~subject:"Option pricing theory"
~subject:"Securities trading"
~subject:"stochastic optimal control"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject_exact:"Optimal control problem"
Narrow search
Delete all filters
| 5 applied filters
Year of publication
From:
To:
Subject
All
Option pricing theory
Securities trading
stochastic optimal control
Control theory
44
Kontrolltheorie
44
Stochastic process
27
Stochastischer Prozess
27
Portfolio selection
26
Portfolio-Management
26
Theorie
18
Theory
18
Mathematical programming
12
Mathematische Optimierung
12
Dynamic programming
6
Dynamische Optimierung
6
Optionspreistheorie
6
Stochastic control
6
CAPM
5
Transaction costs
5
Transaktionskosten
5
Hamilton-Jacobi-Bellman equation
4
Time consistency
4
Zeitkonsistenz
4
Agency theory
3
Dividend
3
Dividende
3
Martingal
3
Martingale
3
Prinzipal-Agent-Theorie
3
Search theory
3
Suchtheorie
3
Wertpapierhandel
3
Bellman equation
2
Consumption theory
2
Contract theory
2
Derivat
2
Derivative
2
Discounting
2
Diskontierung
2
Economy of time
2
more ...
less ...
Online availability
All
Undetermined
5
Type of publication
All
Article
10
Type of publication (narrower categories)
All
Article in journal
10
Aufsatz in Zeitschrift
10
Language
All
English
10
Author
All
Bender, Christian
2
Dokučaev, Nikolaj G.
2
Ackermann, Julia
1
Bayraktar, Erhan
1
Egorov, Sergei
1
Frei, Christoph
1
Gombani, Andrea
1
Guéant, Olivier
1
Horst, Ulrich
1
Kruse, Thomas
1
Lehalle, Charles-Albert
1
Ludkovski, Michael
1
Pergamenchtchikov, Serguei
1
Runggaldier, Wolfgang J.
1
Samperi, Dominick
1
Urusov, Mikhail
1
Westray, Nicholas
1
Xia, Xiaonyu
1
more ...
less ...
Published in...
All
Finance and stochastics
Mathematical finance : an international journal of mathematics, statistics and financial theory
Applied mathematical finance
7
International journal of theoretical and applied finance
7
Risks : open access journal
7
CESifo working papers
5
CoFE discussion papers
4
Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
4
Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW)
4
Journal of risk and financial management : JRFM
3
Mathematics of operations research
3
Quantitative finance
3
Institute of Mathematical Economics Working Paper
2
Insurance / Mathematics & economics
2
Manufacturing & service operations management : M & SOM
2
Market microstructure and liquidity
2
Mathematics and financial economics
2
Operations research
2
SFB 649 discussion paper
2
Scandinavian actuarial journal
2
Applied financial economics
1
Bulletin of economic research
1
CARF working paper
1
CIRJE discussion papers / F series
1
Computational economics
1
European journal of operational research : EJOR
1
IMA journal of management mathematics
1
International journal of production research
1
International journal of theoretical and applied finance : IJTAF
1
Journal of mathematical finance
1
Journal of quantitative economics
1
Journal of risk
1
Journal of the Operational Research Society
1
Les cahiers du GERAD
1
LogForum : elektroniczne czasopismo naukowe z dziedziny logistyki
1
Mathematical methods of operations research
1
Netspar academic series
1
P.V. Shevchenko and X. Luo (2016). A unified pricing of variable annuity guarantees under the optimal stochastic control framework. Risks 4(3), 22:1-22:31, doi:10.3390/risks4030022
1
Risk and decision analysis
1
Schriften aus der Fakultät Sozial- und Wirtschaftswissenschaften der Otto-Friedrich-Universität
1
more ...
less ...
Source
All
ECONIS (ZBW)
10
Showing
1
-
10
of
10
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Optimal investment and consumption for financial markets with jumps under transaction costs
Egorov, Sergei
;
Pergamenchtchikov, Serguei
- In:
Finance and stochastics
28
(
2024
)
1
,
pp. 123-159
Persistent link: https://www.econbiz.de/10014447608
Saved in:
2
Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models
Ackermann, Julia
;
Kruse, Thomas
;
Urusov, Mikhail
- In:
Finance and stochastics
25
(
2021
)
4
,
pp. 757-810
Persistent link: https://www.econbiz.de/10012665227
Saved in:
3
Multi-dimensional optimal trade execution under stochastic resilience
Horst, Ulrich
;
Xia, Xiaonyu
- In:
Finance and stochastics
23
(
2019
)
4
,
pp. 889-923
Persistent link: https://www.econbiz.de/10012114663
Saved in:
4
A first-order BSPDE for swing option pricing : classical solutions
Bender, Christian
;
Dokučaev, Nikolaj G.
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 902-925
Persistent link: https://www.econbiz.de/10011764986
Saved in:
5
A first-order BSPDE for swing option pricing
Bender, Christian
;
Dokučaev, Nikolaj G.
- In:
Mathematical finance : an international journal of …
26
(
2016
)
3
,
pp. 461-491
Persistent link: https://www.econbiz.de/10011583530
Saved in:
6
Optimal execution of a VWAP order : a stochastic control approach
Frei, Christoph
;
Westray, Nicholas
- In:
Mathematical finance : an international journal of …
25
(
2015
)
3
,
pp. 612-639
Persistent link: https://www.econbiz.de/10011350559
Saved in:
7
General intensity shapes in optimal liquidation
Guéant, Olivier
;
Lehalle, Charles-Albert
- In:
Mathematical finance : an international journal of …
25
(
2015
)
3
,
pp. 457-495
Persistent link: https://www.econbiz.de/10011350585
Saved in:
8
Liquidation in limit order books with controlled intensity
Bayraktar, Erhan
;
Ludkovski, Michael
- In:
Mathematical finance : an international journal of …
24
(
2014
)
4
,
pp. 627-650
Persistent link: https://www.econbiz.de/10011308178
Saved in:
9
Arbitrage-free multifactor term structure models : a theory based on stochastic control
Gombani, Andrea
;
Runggaldier, Wolfgang J.
- In:
Mathematical finance : an international journal of …
23
(
2013
)
4
,
pp. 659-686
Persistent link: https://www.econbiz.de/10010187681
Saved in:
10
Calibrating a diffusion pricing model with uncertain volatility: regularization and stability
Samperi, Dominick
- In:
Mathematical finance : an international journal of …
12
(
2002
)
1
,
pp. 71-87
Persistent link: https://www.econbiz.de/10001686213
Saved in:
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->