Search Results - subject:"Hamilton–Jacobi–Bellman equation"

On the feedback solution of a differential oligopoly game with capacity adjustment

Dragone, Davide; Lambertini, Luca; Palestini, Arsen - 2011

We propose a simple method for characterising analytically the feedback solution of oligopoly games with capital accumulation à la Solow-Swan. As a result, it becomes possible to contrast the feedback equilibrium against the corresponding one generated by open-loop information. Our method...

Persistent link: https://www.econbiz.de/10011737241

Post-crisis macrofinancial modeling : continuous time approaches

Isohätälä, Jukka; Klimenko, Nataliya; Milne, Alistair - In: The handbook of post crisis financial modelling, (pp. 235-282). 2016

Persistent link: https://www.econbiz.de/10011475781

Simultaneous trading in 'lit' and dark pools

Crisafi, M. Alessandra; Macrina, Andrea - In: International journal of theoretical and applied finance 19 (2016) 8, pp. 1-33

Persistent link: https://www.econbiz.de/10011686741

The Friedman rule and inflation targeting

Guo, Qian; Rhys, Huw; Song, Xiaojing; Tippett, Mark - In: The European journal of finance 22 (2016) 13/15, pp. 1414-1434

Persistent link: https://www.econbiz.de/10011715439

Chaos propagation in games of control for energy-efficient wireless communications

Baili, Hana - In: International game theory review 18 (2016) 4, pp. 1-21

Persistent link: https://www.econbiz.de/10011566169

Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence

Bi, Junna; Liang, Zhibin; Xu, Fangjun - In: Insurance / Mathematics & economics 70 (2016), pp. 245-258

Persistent link: https://www.econbiz.de/10011597285

Optimal dynamic proportional and excess of loss reinsurance under dependent risks

Gosio, Cristina; Lari, Ester C.; Ravera, Marina - In: Modern economy 7 (2016) 6, pp. 715-724

Persistent link: https://www.econbiz.de/10011597337

On capital injections and dividends with tax in a classical risk model

Schmidli, Hanspeter - In: Insurance / Mathematics & economics 71 (2016), pp. 138-144

Persistent link: https://www.econbiz.de/10011630625

Loss data analysis : analysis of the sample dependence in density reconstruction by maxentropic methods

Gomes-Gonçalves, Erika; Gzyl, Henryk; Mayoral, Silvia - In: Insurance / Mathematics & economics 71 (2016), pp. 145-153

Persistent link: https://www.econbiz.de/10011630627

Constrained investment-reinsurance optimization with regime switching under variance premium principle

Lv, Chen; Qian, Linyi; Shen, Yang; Wang, Wei - In: Insurance / Mathematics & economics 71 (2016), pp. 253-267

Persistent link: https://www.econbiz.de/10011630835