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  • Search: subject:"Hamilton–Jacobi–Bellman equation"
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Year of publication
Subject
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Hamilton-Jacobi-Bellman equation 39 Stochastic process 16 Stochastischer Prozess 16 Control theory 11 Kontrolltheorie 11 Dynamic programming 9 Mathematical programming 9 Mathematische Optimierung 9 stochastic optimal control 9 Dynamische Optimierung 8 Theorie 8 Theory 8 Portfolio selection 6 Portfolio-Management 6 optimal stopping 6 Hamilton–Jacobi–Bellman equation 5 Game theory 4 Markov chain 4 Markov-Kette 4 Reinsurance 4 Rückversicherung 4 Spieltheorie 4 dynamic programming 4 finite-fuel singular stochastic control 4 free-boundary 4 irreversible investment 4 stochastic control 4 Dividend 3 Dividende 3 Oligopol 3 Oligopoly 3 Production capacity 3 Produktionskapazität 3 Risiko 3 Risikomanagement 3 Risikomodell 3 Risk 3 Risk management 3 Risk model 3 Search theory 3
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Online availability
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Free 52 CC license 3
Type of publication
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Book / Working Paper 29 Article 23
Type of publication (narrower categories)
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Article in journal 15 Aufsatz in Zeitschrift 15 Working Paper 14 Arbeitspapier 10 Graue Literatur 10 Non-commercial literature 10 Article 7 Hochschulschrift 1 Thesis 1
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Language
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English 47 Undetermined 5
Author
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Ferrari, Giorgio 8 De Angelis, Tiziano 5 Moriarty, John 4 Vigna, Elena 4 Lambertini, Luca 3 Aksoy, Ümit 2 Aydoğan, Burcu 2 BATTOCCHIO, Paolo 2 Brachetta, Matteo 2 Bradonjić, Milan 2 Brinker, Leonie Violetta 2 Causley, Matthew 2 Ceci, Claudia 2 Cohen, Albert 2 Federico, Salvatore 2 Francesco, MENONCIN 2 Fujisaki, Masatoshi 2 Giacinto, Marina Di 2 Gozzi, Fausto 2 Katayama, Seiichi 2 Lindgren, Jussi 2 Milazzo, Alessandro 2 Ohta, Hiroshi 2 Palestini, Arsen 2 Pólvora, Pedro 2 Schmidli, Hanspeter 2 Shigeta, Yuki 2 Uğur, Ömür 2 Yang, Shuzhen 2 Ševčovič, Daniel 2 Angelis, Tiziano De 1 Berdjane, Belkacem 1 Brock, William 1 Christensen, Bent Jesper 1 Dong, Xue 1 Dragone, Davide 1 Eisenberg, Julia 1 Heinrich, Henriette Elisabeth 1 Hernández-Hernández, Daniel 1 Hosoya, Yuhki 1
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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 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 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1
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Published in...
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Risks : open access journal 5 Center for Mathematical Economics Working Papers 4 Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 4 Risks 4 Quaderni - working paper DSE / Alma Mater Studiorum - Università di Bologna, Department of Economics 3 Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW) 3 Carlo Alberto Notebooks 2 Decisions in economics and finance : a journal of applied mathematics 2 Discussion Paper Series / Research Institute for Economics and Business Administration, Kobe University 2 Discussion paper series 2 Scandinavian actuarial journal 2 Applied mathematical finance 1 CREATES research paper 1 Computational Economics 1 Computational economics 1 DEOS Working Papers 1 Decisions in Economics and Finance 1 Economics Working Papers / Departamento de Economía, Universidad Carlos III de Madrid 1 Journal of Risk and Financial Management 1 Journal of mathematical economics 1 Journal of risk and financial management : JRFM 1 LogForum : elektroniczne czasopismo naukowe z dziedziny logistyki 1 Mathematical methods of operations research : ZOR 1 SFB 649 Discussion Papers 1 Waterloo economic series : working paper 1 Working Papers / HAL 1 Working Papers / Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld 1 Управление большими системами: сборник трудов 1
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Source
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ECONIS (ZBW) 26 RePEc 14 EconStor 12
Showing 1 - 10 of 52
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Modeling, Analysis and Optimization for Mathematical Finance, Economics and Risks
Yao, Jing (contributor); Hu, Xiang (contributor);  … - 2024
Modeling, Analysis, and Optimization for Mathematical Finance, Economics, and Risks is a critical domain that integrates mathematical theory with practical applications to address the complexities of modern financial and economic systems. This special issue focuses on recent studies that are...
Persistent link: https://www.econbiz.de/10015325017
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On the fragility of the basis on the Hamilton-Jacobi-Bellman equation in economic dynamics
Hosoya, Yuhki - In: Journal of mathematical economics 111 (2024), pp. 1-10
Persistent link: https://www.econbiz.de/10015071624
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Optimisation of drawdowns by generalised reinsurance in the classical risk model
Brinker, Leonie Violetta; Schmidli, Hanspeter - In: Decisions in Economics and Finance 46 (2023) 2, pp. 635-665
fulfils the corresponding Hamilton–Jacobi–Bellman equation and show how one can calculate the value function and the optimal …
Persistent link: https://www.econbiz.de/10015198558
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Non-zero-sum reinsurance and investment game with non-trivial curved strategy structure under Ornstein-Uhlenbeck process
Dong, Xue; Rong, Ximin; Zhao, Hui - In: Scandinavian actuarial journal 2023 (2023) 6, pp. 565-597
Persistent link: https://www.econbiz.de/10014383862
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Time-inconsistent view on a dividend problem with penalty
Strini, Josef Anton; Thonhauser, Stefan - In: Scandinavian actuarial journal 2023 (2023) 8, pp. 811-833
Persistent link: https://www.econbiz.de/10014383974
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Optimal proportional and excess-of-loss reinsurance for multiple classes of insurance business
Torrente, Maria-Laura - In: Decisions in economics and finance : a journal of … 46 (2023) 2, pp. 611-633
Persistent link: https://www.econbiz.de/10014443758
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Optimisation of drawdowns by generalised reinsurance in the classical risk model
Brinker, Leonie Violetta; Schmidli, Hanspeter - In: Decisions in economics and finance : a journal of … 46 (2023) 2, pp. 635-665
Persistent link: https://www.econbiz.de/10014443759
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Optimal limit order book trading strategies with stochastic volatility in the underlying asset
Aydoğan, Burcu; Uğur, Ömür; Aksoy, Ümit - In: Computational economics 62 (2023) 1, pp. 289-324
Persistent link: https://www.econbiz.de/10014327497
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Optimal decision making for empty container management at seaport yard
Ngo Quang Vinh; You, Sam-Sang; Le Ngoc Bao Long; Kim, … - In: LogForum : elektroniczne czasopismo naukowe z dziedziny … 19 (2023) 1, pp. 75-59
Persistent link: https://www.econbiz.de/10014259025
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Optimal Limit Order Book Trading Strategies with Stochastic Volatility in the Underlying Asset
Aydoğan, Burcu; Uğur, Ömür; Aksoy, Ümit - In: Computational Economics 62 (2022) 1, pp. 289-324
In quantitative finance, there have been numerous new aspects and developments related with the stochastic control and optimization problems which handle the controlled variables of performing the behavior of a dynamical system to achieve certain objectives. In this paper, we address the optimal...
Persistent link: https://www.econbiz.de/10015194316
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