Search Results - subject:"Control problem"

Stochastic optimization in continuous time

Chang, Fwu-ranq - 2004

This is a rigorous but user-friendly book on the application of stochastic control theory to economics. A distinctive feature of the book is that mathematical concepts are introduced in a language and terminology familiar to graduate students of economics

Persistent link: https://www.econbiz.de/10012673406

Optimal policy with low-probability extreme events

Svensson, Lars E. O. - 2004

Persistent link: https://www.econbiz.de/10013424389

Average Relaxations of Extremal Problems

Tsirlin, Anatoliy M.; Kazakov, Valdimir - Finance Discipline Group, Business School - 2003

In this paper extremal problems that include averaging operation in constraints and objective are considered. The relaxation caused by a replacement of a problem without averaging with a problem that includes averaging is formally defined and investigated. Canonical form for nolinear programming...

Persistent link: https://www.econbiz.de/10004984583

Risk sensitive impulse control of non-Markovian processes

Hdhiri, Ibtissam; Karouf, Monia - In: Mathematical Methods of Operations Research 74 (2011) 1, pp. 1-20

optimal strategy. We prove that our impulse control problem could be reduced to an iterative sequence of optimal stopping ones …

Persistent link: https://www.econbiz.de/10010949938

Some aspects of reachability for parabolic boundary control problems with control constraints

Dhamo, Vili; Tröltzsch, Fredi - In: Computational Optimization and Applications 50 (2011) 1, pp. 75-110

Persistent link: https://www.econbiz.de/10009325283

On irreversible investment

Riedel, Frank; Su, Xia - In: Finance and Stochastics 15 (2011) 4, pp. 607-633

Persistent link: https://www.econbiz.de/10009400210

Discretization of interior point methods for state constrained elliptic optimal control problems: optimal error estimates and parameter adjustment

Hinze, Michael; Schiela, Anton - In: Computational Optimization and Applications 48 (2011) 3, pp. 581-600

Persistent link: https://www.econbiz.de/10008925538

Elliptic control problems with gradient constraints—variational discrete versus piecewise constant controls

Günther, Andreas; Hinze, Michael - In: Computational Optimization and Applications 49 (2011) 3, pp. 549-566

Persistent link: https://www.econbiz.de/10009149868

Risk sensitive impulse control of non-Markovian processes

Hdhiri, Ibtissam; Karouf, Monia - In: Computational Statistics 74 (2011) 1, pp. 1-20

optimal strategy. We prove that our impulse control problem could be reduced to an iterative sequence of optimal stopping ones …

Persistent link: https://www.econbiz.de/10010759142

Technology adoption under embodiment : a two-stage optimal control approach

Boucekkine, Raouf (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001755769