Search Results - subject:"Generalized control"

Robust utility maximization for a diffusion market model with misspecified coefficients

Tevzadze, Revaz; Toronjadze, Teimuraz; Uzunashvili, Tamaz - In: Finance and Stochastics 17 (2013) 3, pp. 535-563

The paper studies the robust maximization of utility from terminal wealth in a diffusion financial market model. The underlying model consists of a tradable risky asset whose price is described by a diffusion process with misspecified trend and volatility coefficients, and a non-tradable asset...

Persistent link: https://www.econbiz.de/10010847038

Optimality of randomized strategies in a Markovian replacement model

Bruns, Peter - In: Computational Statistics 56 (2003) 3, pp. 481-499

prove that a generalized control-limit policy maximizes the expected time between two successive replacements and we explain …

Persistent link: https://www.econbiz.de/10010847592

Optimality of randomized strategies in a Markovian replacement model

Bruns, Peter - In: Mathematical Methods of Operations Research 56 (2003) 3, pp. 481-499

prove that a generalized control-limit policy maximizes the expected time between two successive replacements and we explain …

Persistent link: https://www.econbiz.de/10010999639