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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 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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Online availability
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Undetermined 123 Free 52 CC license 3
Type of publication
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Article 168 Book / Working Paper 33
Type of publication (narrower categories)
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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 Hochschulschrift 1 Thesis 1
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Language
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English 144 Undetermined 57
Author
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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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Published in...
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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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Source
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ECONIS (ZBW) 123 RePEc 66 EconStor 12
Showing 71 - 80 of 201
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Life insurance decisions under recursive utility
Reitzel Jensen, Ninna - In: Scandinavian actuarial journal 2019 (2019) 3, pp. 204-227
Persistent link: https://www.econbiz.de/10012194947
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Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan
Wang, Suxin; Lu, Yi - In: Insurance / Mathematics & economics 89 (2019), pp. 46-62
Persistent link: https://www.econbiz.de/10012133507
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A solvable two-dimensional degenerate singular stochastic control problem with nonconvex costs
De Angelis, Tiziano; Ferrari, Giorgio; Moriarty, John - In: Mathematics of operations research 44 (2019) 2, pp. 512-531
Persistent link: https://www.econbiz.de/10012028632
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Optimal dynamic reinsurance with common shock dependence and state-dependent risk aversion
Zhang, Caibin; Liang, Zhibin; Yuen, Kam Chuen - In: International journal of financial engineering 6 (2019) 1, pp. 1-45
Persistent link: https://www.econbiz.de/10012028852
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Optimal investment problem for life insurance company by considering health-level
Chen, Jiachen; Rong, Ximin; Zhao, Hui - In: Modern economy 10 (2019) 4, pp. 1107-1120
Persistent link: https://www.econbiz.de/10012104774
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Optimal overbooking strategies in the airlines using dynamic programming approach in continuous time
Fard, Farzad Alavi; Sy, Malick; Ivanov, Dmitry - In: Transportation research / E : an international journal 128 (2019), pp. 384-399
Persistent link: https://www.econbiz.de/10012061151
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A multi-asset investment and consumption problem with transaction costs
Hobson, David G.; Tse, Alex S. L.; Zhu, Yeqi - In: Finance and stochastics 23 (2019) 3, pp. 641-676
Persistent link: https://www.econbiz.de/10012023758
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Portfolio management in a stochastic factor model under the existence of private information
Baltas, Ioannis; Yannacopoulos, Athanasios N. - In: IMA journal of management mathematics 30 (2019) 1, pp. 77-103
Persistent link: https://www.econbiz.de/10012057100
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A hyperbolic model of optimal cash balances
Burg, John van der; Song, Xiaojing; Tippett, Mark - In: The European journal of finance 25 (2019) 2, pp. 101-115
Persistent link: https://www.econbiz.de/10012206959
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A Non Convex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries
De Angelis, Tiziano; Ferrari, Giorgio; Moriarty, John - 2014
We show that the equivalence between certain problems of singular stochastic control (SSC) and related questions of optimal stopping known for convex performance criteria (see, for example, Karatzas and Shreve (1984)) continues to hold in a non convex problem provided a related discretionary...
Persistent link: https://www.econbiz.de/10010427193
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