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  • Search: subject:"Dynamic programming principle"
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Year of publication
Subject
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Dynamic programming 26 Dynamische Optimierung 26 Dynamic programming principle 24 Portfolio selection 12 Portfolio-Management 12 dynamic programming principle 12 Theorie 11 Theory 11 Mathematical programming 10 Mathematische Optimierung 10 Stochastic process 10 Stochastischer Prozess 10 Control theory 5 Kontrolltheorie 5 Markov chain 5 Markov-Kette 5 Viscosity solution 5 stochastic control 5 Dividend 4 Game theory 4 HJB equation 4 Option pricing theory 4 Optionspreistheorie 4 Regime-switching 4 Risiko 4 Risikomodell 4 Risk 4 Risk model 4 Spieltheorie 4 Value function 4 Dividende 3 indifference price 3 viscosity solution 3 2-person zero-sum differential games 2 Actuarial mathematics 2 Altersvorsorge 2 Cooperative game 2 Decision 2 Derivat 2 Derivative 2
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Online availability
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Undetermined 22 Free 11 CC license 2
Type of publication
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Article 34 Book / Working Paper 4
Type of publication (narrower categories)
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Article in journal 24 Aufsatz in Zeitschrift 24 Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2 Working Paper 2 Article 1
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Language
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English 28 Undetermined 10
Author
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Zhu, Jinxia 4 Buckdahn, Rainer 3 Chen, Feng 3 Li, Juan 3 Siu, Tak Kuen 3 Agarwal, Ankush 2 Dzupire, Nelson Christopher 2 Ewald, Christian 2 Fu, Jun 2 Ngare, Philip 2 Odongo, Leo 2 Quincampoix, Marc 2 Shen, Yang 2 Wang, Yongjie 2 Wei, Jiaqin 2 Yang, Hailiang 2 Abid, Fathi 1 Antoch, Jaromír 1 Backhoff-Veraguas, Julio 1 Basak, Gopal Krishna 1 Chakroun, Fatma 1 Chang, Hao 1 Chang, Kai 1 Chen, Fen 1 Colin, Fabrice 1 Dela Vega, Engel John C. 1 Elliott, Robert J. 1 Fei, Chen 1 Fei, Weiyin 1 Feinstein, Zachary 1 Gu, Haotian 1 Guo, Xin 1 Heinrich, Henriette Elisabeth 1 Hu, Ying 1 Jarušková, Daniela 1 Jianfeng Zhang 1 Khlopin, Dmitry 1 Krylov, N.V. 1 Lazgham, Mourad 1 Lehalle, Charles-Albert 1
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Institution
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HAL 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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Economic modelling 4 Economic Modelling 2 Insurance / Mathematics & economics 2 Stochastic Processes and their Applications 2 Computational Statistics 1 Computational management science 1 Dynamic games and applications : DGA 1 European Journal of Operational Research 1 European journal of operational research : EJOR 1 Finance and stochastics 1 Insurance: Mathematics and Economics 1 International Journal of Financial Studies 1 International Journal of Financial Studies : open access journal 1 International Journal of Game Theory 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 International game theory review 1 International journal of game theory : official journal of the Game Theory Society 1 International journal of theoretical and applied finance 1 International journal of theoretical and applied finance : IJTAF 1 Journal of mathematical finance 1 MPRA Paper 1 Market microstructure and liquidity 1 Mathematical finance : an international journal of mathematics, statistics and financial economics 1 Mathematical methods of operations research 1 Mathematics and financial economics 1 Mathematics of operations research 1 Operations research 1 Risks : open access journal 1 The North American journal of economics and finance : a journal of theory and practice 1 Working Papers / HAL 1 Working paper series : paper ... 1 Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW) 1
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Source
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ECONIS (ZBW) 26 RePEc 11 EconStor 1
Showing 31 - 38 of 38
Cover Image
Testing for multiple change points
Antoch, Jaromír; Jarušková, Daniela - In: Computational Statistics 28 (2013) 5, pp. 2161-2183
In this paper we concentrate on testing for multiple changes in the mean of a series of independent random variables. Suggested method applies a maximum type test statistic. Our primary focus is on an effective calculation of critical values for very large sample sizes comprising (tens of)...
Persistent link: https://www.econbiz.de/10010998432
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Dividend optimization for regime-switching general diffusions
Zhu, Jinxia; Chen, Feng - In: Insurance: Mathematics and Economics 53 (2013) 2, pp. 439-456
We consider the optimal dividend distribution problem of a financial corporation whose surplus is modeled by a general diffusion process with both the drift and diffusion coefficients depending on the external economic regime as well as the surplus itself through general functions. The aim is to...
Persistent link: https://www.econbiz.de/10010702910
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Optimal risk control under marked point processes shocks : a dynamic programming duality approach
Mnif, Mohamed - In: International journal of theoretical and applied finance 16 (2013) 7, pp. 1-45
Persistent link: https://www.econbiz.de/10010233243
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Dividend optimization for regime-switching general diffusions
Zhu, Jinxia; Chen, Fen - In: Insurance / Mathematics & economics 53 (2013) 2, pp. 439-456
Persistent link: https://www.econbiz.de/10010195911
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Value function of differential games without Isaacs conditions : an approach with nonanticipative mixed strategies
Buckdahn, Rainer; Li, Juan; Quincampoix, Marc - In: International journal of game theory : official journal … 42 (2013) 4, pp. 989-1020
Persistent link: https://www.econbiz.de/10010196083
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Asset allocation under stochastic interest rate with regime switching
Shen, Yang; Siu, Tak Kuen - In: Economic Modelling 29 (2012) 4, pp. 1126-1136
We investigate an optimal asset allocation problem in a Markovian regime-switching financial market with stochastic interest rate. The market has three investment opportunities, namely, a bank account, a share and a zero-coupon bond, where stochastic movements of the short rate and the share...
Persistent link: https://www.econbiz.de/10010577123
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Asset allocation under stochastic interest rate with regime switching
Shen, Yang; Siu, Tak Kuen - In: Economic modelling 29 (2012) 4, pp. 1126-1136
Persistent link: https://www.econbiz.de/10009667429
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Stochastic representation for solutions of Isaacs’ type integral–partial differential equations
Buckdahn, Rainer; Hu, Ying; Li, Juan - In: Stochastic Processes and their Applications 121 (2011) 12, pp. 2715-2750
the dynamic programming principle (DPP). However, the cost functionals are not deterministic anymore and hence also the …
Persistent link: https://www.econbiz.de/10011065122
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