Search Results - subject:"Optimal control problem"

Optimal choice of health and retirement in a life-cycle model

Kuhn, Michael; Wrzaczek, Stefan; Fürnkranz-Prskawetz, … - 2011 - Very preliminary, December 13, 2010

Persistent link: https://www.econbiz.de/10009356741

Fisheries management under irreversible investment : does stochasticity matter?

Poudel, Diwakar (contributor) - 2011

Persistent link: https://www.econbiz.de/10009373879

The deterministic impulse control maximum principle in operations research : necessary and sufficient optimality conditions

Chahim, Mohammed; Hartl, Richard F.; Kort, Peter M. - 2011 - rev.

Persistent link: https://www.econbiz.de/10009389644

Optimal control of broadcasting spectrum with a variety-reception tradeoff and consumers’ income sensitivity

Levy-Livermore, Amnon; Freyens, Benoit - 2011 - Rev. and extended version

Persistent link: https://www.econbiz.de/10009011213

Experimentation in two-sided markets

Peitz, Martin; Rady, Sven; Trepper, Piers - 2011

We study optimal experimentation by a monopolistic platform in a two-sided market framework. The platform provider faces uncertainty about the strength of the externality each side is exerting on the other. It maximizes the expected present value of its profit stream in a continuous-time...

Persistent link: https://www.econbiz.de/10009381848

When to cross the spread : curve following with singular control

Naujokat, Felix; Horst, Ulrich - 2011

In this article the problem of curve following in an illiquid market is addressed. Using techniques of singular stochastic control, we extend the results of [NW11] to a twosided limit order market with temporary market impact and resilience, where the bid ask spread is now also controlled. We...

Persistent link: https://www.econbiz.de/10009266861

From mind to market : a global, dynamic analysis of R&D

Hinloopen, Jeroen; Smrkolj, Grega; Wagener, Florian … - 2011

Persistent link: https://www.econbiz.de/10010191085

Optimal grazing management rules in semi-arid rangelands with uncertain rainfall

Quaas, Martin F.; Baumgärtner, Stefan - 2011

season, the closed-loop solution of the stochastic optimal control problem does not only depend on the state variable, but … other natural resources under uncertainty, where the closed-loop solution of the stochastic optimal control problem depends … season, the closed-loop solution of the stochastic optimal control problem does not only depend on the state variable, but …

Persistent link: https://www.econbiz.de/10008907785

Pricing, implementation and calibration of credit derivatives in incomplete market

Houssou, Régis - 2011

After the financial crisis of 2UU8. it is observed that tlie liquidity of many credit derivatives has dried up. The existence of illiquid credit derivatives that can not be perfectly hedged means that the market is incomplete. Therefore. the classical risk-neutral approach to valuing the credit...

Persistent link: https://www.econbiz.de/10009523460

Stochastic control in limit order markets : curve following, portfolio liquidation and derivative valuation

Naujokat, Felix - 2011

Persistent link: https://www.econbiz.de/10009552027