Search Results - subject:"Continuation method"

A mean field game of optimal portfolio liquidation

Fu, Guanxing; Graewe, Paulwin; Horst, Ulrich; Popier, … - In: Mathematics of operations research 46 (2021) 4, pp. 1250-1281

Persistent link: https://www.econbiz.de/10012796639

Computing transitional cycles for a deterministic time-to-build growth model

Lin, Hwan-chyang - In: Computational economics 51 (2018) 3, pp. 677-696

Persistent link: https://www.econbiz.de/10011963722

Solutions for functional fully coupled forward–backward stochastic differential equations

Ji, Shaolin; Yang, Shuzhen - In: Statistics & Probability Letters 99 (2015) C, pp. 70-76

In this paper, we study a functional fully coupled forward–backward stochastic differential equation (FBSDE). For this functional FBSDE, the classical Lipschitz and monotonicity conditions which guarantee the existence and uniqueness of the solution to FBSDE are no longer applicable. To...

Persistent link: https://www.econbiz.de/10011208306

Numerical study for the electrified instability of viscoelastic cylindrical dielectric fluid film surrounded by a conducting gas

El-Sayed, M.F.; Syam, M.I. - In: Physica A: Statistical Mechanics and its Applications 377 (2007) 2, pp. 381-400

stability conditions are obtained for both cases. We solve the eigenvalue problem numerically using the continuation method …

Persistent link: https://www.econbiz.de/10011057637

Maximum likelihood parameter estimation by model augmentation with applications to the extended four-parameter generalized gamma distribution

Hirose, Hideo - In: Mathematics and Computers in Simulation (MATCOM) 54 (2000) 1, pp. 81-97

successfully when the solution is located in the interior of the parameter space. The continuation method is used for the model … interior of the parameter space; the continuation method, however, leads us to find solutions on the boundary or at the corner …

Persistent link: https://www.econbiz.de/10010749641

Continuous time econometric modelling : [advanced texts in econometrics]

Bergstrom, Albert R. - 1990

Persistent link: https://www.econbiz.de/10013479917