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  • Search: subject:"Hamilton–Jacobi–Bellman Equations"
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Year of publication
Subject
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Hamilton-Jacobi-Bellman equations 18 Asset and Liability Management 16 Benchmarked Asset Management 16 Classical Solutions 16 Dynamic Investment Management 16 Hamilton–Jacobi–Bellman Equations 16 Jump Diffusion Processes 16 Kelly Criterion 16 Lévy Processes 16 Risk Sensitive Control 16 Stochastic Control 16 Viscosity Solutions 16 Dynamic programming 6 Hamilton–Jacobi–Bellman equations 6 Dynamische Optimierung 5 Mathematical programming 5 Mathematische Optimierung 5 Portfolio selection 5 Portfolio-Management 5 Stochastic process 5 Stochastischer Prozess 5 Theorie 5 Theory 5 Hamilton-Jacobi-Bellman Equations 4 Agency theory 3 Contract theory 3 Control theory 3 Kontrolltheorie 3 Optimal investment 3 Option pricing theory 3 Optionspreistheorie 3 Prinzipal-Agent-Theorie 3 Vertragstheorie 3 stochastic optimal control 3 stochastic volatility 3 superreplication 3 Boundary control 2 Contract 2 Convex semigroup 2 Credit risk 2
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Online availability
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Undetermined 32 Free 12
Type of publication
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Article 36 Book / Working Paper 12
Type of publication (narrower categories)
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Article in journal 11 Aufsatz in Zeitschrift 11 Working Paper 4 Arbeitspapier 3 Graue Literatur 3 Non-commercial literature 3 Article 1
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Language
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Undetermined 27 English 21
Author
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Lleo, Sébastien 16 Davis, Mark H. A. 15 Gozzi, Fausto 4 Faggian, Silvia 3 Vargiolu, Tiziano 3 Denk, Robert 2 Dzupire, Nelson Christopher 2 Fernández, Begoña 2 Hernández-Hernández, Daniel 2 Horii, Ryo 2 Kupper, Michael 2 Martin, Jessica 2 Meda, Ana 2 Nendel, Max 2 Ngare, Philip 2 Odongo, Leo 2 Ono, Yoshiyasu 2 Saavedra, Patricia 2 Villeneuve, Stéphane 2 Avanesyan, Levon 1 Bersani, Alberto Maria 1 Bismuth, Alexis 1 Capponi, Agostino 1 Carlini, Elisabetta 1 Cvitanić, Jakša 1 Dai, Min 1 Davis, Mark H A 1 Ewald, Christian-Oliver 1 Fabbri, Giorgio 1 Federico, Salvatore 1 Ferretti, Roberto G. 1 Figueroa-López, José E. 1 Guéant, Olivier 1 Ieda, Masashi 1 Jiang, Han 1 Lanucara, Piero 1 Li, Jinzhi 1 Lim, Tiong Wee 1 Liu, Haiying 1 Nakano, Yumiharu 1
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Institution
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Dipartimento di Matematica Applicata, Università Ca' Foscari Venezia 3 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 Graduate School of Economics, Osaka University 1 School of Economics and Political Science, Universität St. Gallen 1 World Scientific Publishing Co. Pte. Ltd. 1
Published in...
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Risk-Sensitive Investment Management 15 Working Papers / Dipartimento di Matematica Applicata, Università Ca' Foscari Venezia 3 Computational Statistics 2 Finance and Stochastics 2 Finance and stochastics 2 MPRA Paper 2 Mathematical Methods of Operations Research 2 Cahiers de recherche / Département de science Economique, Faculté des Sciences Sociales, Université d'Ottawa 1 Center for Mathematical Economics Working Papers 1 Computational Management Science 1 Computational economics 1 Decisions in Economics and Finance 1 Decisions in economics and finance : a journal of applied mathematics 1 Discussion Papers in Economics and Business 1 Insurance / Mathematics & economics 1 International Journal of Financial Studies 1 International Journal of Financial Studies : open access journal 1 Journal of mathematical finance 1 Mathematical finance : an international journal of mathematics, statistics and financial theory 1 Mathematics and Computers in Simulation (MATCOM) 1 Mathematics and financial economics 1 Mathematics of operations research 1 The journal of computational finance 1 University of St. Gallen Department of Economics working paper series 2005 1 Working papers / TSE : WP 1 Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW) 1 World Scientific Books 1
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Source
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RePEc 32 ECONIS (ZBW) 14 EconStor 2
Showing 1 - 10 of 48
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Charitable giving and NPOs investment decision in a stochastic dynamic economy
Jiang, Han; Simons, Aggey - 2021
Persistent link: https://www.econbiz.de/10012665138
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Risk-sharing and optimal contracts with large exogenous risks
Martin, Jessica; Villeneuve, Stéphane - In: Decisions in economics and finance : a journal of … 46 (2023) 1, pp. 1-43
Persistent link: https://www.econbiz.de/10014321356
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Convex semigroups on Banach lattices
Denk, Robert; Kupper, Michael; Nendel, Max - 2019
In this paper, we investigate convex semigroups on Banach lattices. First, we consider the case, where the Banach lattice is σ-Dedekind complete and satisfies a monotone convergence property, having Lp-spaces in mind as a typical application. Second, we consider monotone convex semigroups on a...
Persistent link: https://www.econbiz.de/10012388839
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Convex semigroups on Banach lattices
Denk, Robert; Kupper, Michael; Nendel, Max - 2019
In this paper, we investigate convex semigroups on Banach lattices. First, we consider the case, where the Banach lattice is σ-Dedekind complete and satisfies a monotone convergence property, having Lp-spaces in mind as a typical application. Second, we consider monotone convex semigroups on a...
Persistent link: https://www.econbiz.de/10012062770
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A Class of Explicit optimal contracts in the face of shutdown
Martin, Jessica; Villeneuve, Stéphane - 2021
Persistent link: https://www.econbiz.de/10012434771
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Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem
Avanesyan, Levon; Shkolnikov, Mykhaylo; Sircar, Kaushik … - In: Finance and stochastics 24 (2020) 4, pp. 981-1011
Persistent link: https://www.econbiz.de/10012518139
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Pricing basket weather derivatives on rainfall and temperature processes
Dzupire, Nelson Christopher; Ngare, Philip; Odongo, Leo - In: International Journal of Financial Studies 7 (2019) 3, pp. 1-14
programming principles and corresponding Hamilton Jacobi-Bellman equations from the stochastic optimal control problems. It is …
Persistent link: https://www.econbiz.de/10013200213
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Pricing basket weather derivatives on rainfall and temperature processes
Dzupire, Nelson Christopher; Ngare, Philip; Odongo, Leo - In: International Journal of Financial Studies : open … 7 (2019) 3/35, pp. 1-14
programming principles and corresponding Hamilton Jacobi-Bellman equations from the stochastic optimal control problems. It is …
Persistent link: https://www.econbiz.de/10012039713
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Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty
Bismuth, Alexis; Guéant, Olivier; Pu, Jiang - In: Mathematics and financial economics 13 (2019) 4, pp. 661-719
Persistent link: https://www.econbiz.de/10012055900
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Dynamic programming approach to principal-agent problems
Cvitanić, Jakša; Possamaï, Dylan; Touzi, Nizar - In: Finance and stochastics 22 (2018) 1, pp. 1-37
Persistent link: https://www.econbiz.de/10011945612
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