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Search: subject:"Hamilton–Jacobi– Bellman equation"
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Hamilton-Jacobi-Bellman equation
129
Theorie
66
Theory
66
Portfolio selection
58
Stochastic process
58
Stochastischer Prozess
58
Portfolio-Management
56
Hamilton–Jacobi–Bellman equation
39
Dynamic programming
38
Mathematical programming
37
Mathematische Optimierung
37
Control theory
33
Dynamische Optimierung
33
Kontrolltheorie
33
Reinsurance
22
Rückversicherung
22
Risikomodell
16
Risk model
16
Viscosity solution
15
Risiko
14
Risk
14
Game theory
12
Markov chain
12
Markov-Kette
12
Spieltheorie
12
Stochastic control
12
Dividend
11
Dividende
11
Stochastic optimal control
11
stochastic optimal control
11
Option pricing theory
10
Optionspreistheorie
10
Risikoaversion
10
Risk aversion
10
Risikomanagement
9
Risk management
9
stochastic control
9
optimal stopping
8
Insurance
7
Optimal investment
7
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Undetermined
123
Free
52
CC license
3
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Article
168
Book / Working Paper
33
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Article in journal
109
Aufsatz in Zeitschrift
109
Working Paper
16
Arbeitspapier
12
Graue Literatur
12
Non-commercial literature
12
Article
7
Aufsatz im Buch
1
Book section
1
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1
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English
144
Undetermined
57
Author
All
Ferrari, Giorgio
10
De Angelis, Tiziano
7
Federico, Salvatore
7
Gozzi, Fausto
7
Li, Zhongfei
6
Liang, Zhibin
6
Moriarty, John
6
Lambertini, Luca
5
Schied, Alexander
5
Schmidli, Hanspeter
5
Vigna, Elena
5
Yao, Haixiang
5
Brachetta, Matteo
4
Ceci, Claudia
4
Eisenberg, Julia
4
Palestini, Arsen
4
Rong, Ximin
4
Zhao, Hui
4
Zou, Bin
4
Azcue, Pablo
3
Bai, Lihua
3
Chen, Shumin
3
Gassiat, Paul
3
Giacinto, Marina Di
3
Lu, Yi
3
Lv, Chen
3
Muler, Nora
3
Shen, Yang
3
Song, Xiaojing
3
Tippett, Mark
3
Zhang, Huayue
3
A, Chunxiang
2
Aksoy, Ümit
2
Aydoğan, Burcu
2
BATTOCCHIO, Paolo
2
Berdjane, Belkacem
2
Bradonjić, Milan
2
Brinker, Leonie Violetta
2
Burg, John van der
2
Cadenillas, Abel
2
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Institution
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Institut de Recherche Économique et Sociale (IRES), École des Sciences Économiques de Louvain
4
Collegio Carlo Alberto, Università degli Studi di Torino
2
Research Institute for Economics and Business Administration, Kobe University
2
Centre for Research on Pensions and Welfare Policies (CeRP), Collegio Carlo Alberto
1
Departamento de Economía, Universidad Carlos III de Madrid
1
Department of International and European Economic Studies, Athens University of Economics and Business (AUEB)
1
HAL
1
Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld
1
Society for Computational Economics - SCE
1
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
1
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Insurance / Mathematics & economics
19
Insurance: Mathematics and Economics
10
Scandinavian actuarial journal
8
International journal of theoretical and applied finance
7
Finance and Stochastics
6
Computational Statistics
5
Mathematical Methods of Operations Research
5
Mathematics and financial economics
5
Risks : open access journal
5
Applied Mathematical Finance
4
Center for Mathematical Economics Working Papers
4
Discussion Papers (IRES - Institut de Recherches Economiques et Sociales)
4
Dynamic games and applications : DGA
4
Finance and stochastics
4
Mathematical methods of operations research
4
Mathematics of operations research
4
Risks
4
The European journal of finance
4
Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW)
4
Decisions in economics and finance : a journal of applied mathematics
3
IMA journal of management mathematics
3
International Game Theory Review (IGTR)
3
Modern economy
3
Quaderni - working paper DSE / Alma Mater Studiorum - Università di Bologna, Department of Economics
3
Asia Pacific financial markets
2
Astin bulletin : the journal of the International Actuarial Association
2
Carlo Alberto Notebooks
2
Discussion Paper Series / Research Institute for Economics and Business Administration, Kobe University
2
Discussion paper series
2
Economic Modelling
2
Economic modelling
2
European Journal of Operational Research
2
International Journal of Theoretical and Applied Finance (IJTAF)
2
International game theory review
2
International journal of financial engineering
2
Journal of Global Optimization
2
Journal of mathematical economics
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
Mathematical methods of operations research : ZOR
2
Quantitative finance
2
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ECONIS (ZBW)
123
RePEc
66
EconStor
12
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91
Optimal investment strategies and intergenerational risk sharing for target benefit pension plans
Wang, Suxin
;
Lu, Yi
;
Sanders, Barbara
- In:
Insurance / Mathematics & economics
80
(
2018
),
pp. 1-14
Persistent link: https://www.econbiz.de/10011872903
Saved in:
92
Optimal dividend and issuance of equity policies in the presence of interest
Mandiudza, Memory
;
Chikodza, Eriyoti
;
Mwareya, Nicholas
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 302-316
Persistent link: https://www.econbiz.de/10011874742
Saved in:
93
Stochastic differential games between two insurers with generalized mean-variance premium principle
Chen, Shumin
;
Yang, Hailiang
;
Zeng, Yan
- In:
Astin bulletin : the journal of the International …
48
(
2018
)
1
,
pp. 413-434
Persistent link: https://www.econbiz.de/10011875615
Saved in:
94
On a new paradigm of optimal reinsurance : a stochastic stackelberg differential game between an insurer and a reinsurer
Lv, Chen
;
Shen, Yang
- In:
Astin bulletin : the journal of the International …
48
(
2018
)
2
,
pp. 905-960
Persistent link: https://www.econbiz.de/10011875926
Saved in:
95
Optimal abatement and emission permit trading policies in a dynamic transboundary pollution game
Chang, Shuhua
;
Sethi, Suresh P.
;
Wang, Xinyu
- In:
Dynamic games and applications : DGA
8
(
2018
)
3
,
pp. 542-572
Persistent link: https://www.econbiz.de/10012101126
Saved in:
96
Regularity properties in a state-constrained expected utility maximization problem
Lazgham, Mourad
- In:
Mathematical methods of operations research
88
(
2018
)
2
,
pp. 185-240
Persistent link: https://www.econbiz.de/10011935660
Saved in:
97
Sequential $\delta$-optimal consumption and investment for stochastic volatility markets with unknown parameters
Berdjane, Belkacem
;
Pergamenshchikov, Sergei
-
HAL
-
2012
We consider an optimal investment and consumption problem for a Black-Scholes financial market with stochastic volatility and unknown stock appreciation rate. The volatility parameter is driven by an external economic factor modeled as a diffusion process of Ornstein-Uhlenbeck type with unknown...
Persistent link: https://www.econbiz.de/10010821411
Saved in:
98
Income drawdown option with minimum guarantee
Giacinto, Marina Di
;
Federico, Salvatore
;
Gozzi, Fausto
; …
-
Collegio Carlo Alberto, Università degli Studi di Torino
-
2012
method. We write the non-linear
Hamilton-Jacobi-Bellman
equation
for the problem and transform it into a dual one that is …
Persistent link: https://www.econbiz.de/10010615365
Saved in:
99
Optimal mean-variance portfolio selection
Pedersen, Jesper Lund
;
Peskir, Goran
- In:
Mathematics and financial economics
11
(
2017
)
2
,
pp. 137-160
Persistent link: https://www.econbiz.de/10011900522
Saved in:
100
On the constant elasticity of variance model for the utility maximization problem with multiple risky assets
Zhao, Hui
;
Rong, Ximin
- In:
IMA journal of management mathematics
28
(
2017
)
2
,
pp. 299-320
Persistent link: https://www.econbiz.de/10011723286
Saved in:
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