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  • Search: subject:"Optimal stochastic control"
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Year of publication
Subject
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Optimal stochastic control 33 Stochastischer Prozess 27 Stochastic process 25 Kontrolltheorie 18 Control theory 16 Theorie 16 optimal stochastic control 15 Theory 14 Mathematical programming 10 Mathematische Optimierung 10 Portfolio selection 9 Portfolio-Management 9 Dynamic programming 8 Dynamische Optimierung 8 Continuous-time DSGE 4 Hamilton-Jacobi-Bellman equation 4 Advertising 3 Lebensversicherung 3 Life insurance 3 Preismanagement 3 Pricing strategy 3 SIR model 3 Variable annuity 3 Waveform Relaxation 3 Werbung 3 dividend extraction 3 jump-diffusion model 3 resource extraction 3 transaction costs 3 Algorithmus 2 Co-integration 2 Coronavirus 2 Demand 2 Duality 2 Epidemic 2 Epidemie 2 Gauss-Hermite quadrature 2 Guaranteed minimum withdrawal benefit 2 Hamilton Jacobi Bellman equation 2 Infection control 2
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Online availability
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Undetermined 22 Free 20 CC license 1
Type of publication
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Article 34 Book / Working Paper 15
Type of publication (narrower categories)
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Article in journal 26 Aufsatz in Zeitschrift 26 Working Paper 7 Arbeitspapier 3 Graue Literatur 3 Non-commercial literature 3 Article 1
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Language
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English 39 Undetermined 10
Author
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Federico, Salvatore 6 Luo, Xiaolin 5 Neuman, Eyal 5 Shevchenko, Pavel V. 5 Posch, Olaf 4 Ferrari, Giorgio 3 Framstad, Nils Chr. 3 Gassiat, Paul 3 Gozzi, Fausto 3 Schlosser, Rainer 3 Tourin, Agnès 3 Trimborn, Timo 3 Belomestny, Denis 2 Burren, Daniel 2 Ciais, Philippe 2 Forsyth, Peter 2 Gitz, Vincent 2 Hourcade, Jean Charles 2 Kolodko, Anastasia 2 Lehalle, Charles-Albert 2 Travaglini, Giuseppe 2 Yan, Raphael 2 Aktar, Yalçin 1 Astic, Fabian 1 Bellani, Claudio 1 Brachetta, Matteo 1 Brigo, Damiano 1 Cardaliaguet, Pierre 1 Ceci, Claudia 1 Colmorn, Richard 1 Cont, Rama 1 Cordes, Philip 1 Defourny, Boris 1 Done, Alex 1 Eisenberg, Julia 1 Gallay, Olivier 1 Galluccio, Stefano 1 Hongler, Max-Olivier 1 Hülsmann, Michael 1 Kohlmann, Michael 1
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Institution
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HAL 2 School of Economics and Management, University of Aarhus 2 Facoltà di Economia, Università degli Studi di Urbino 1 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1 Wirtschaftswissenschaftliche Fakultät, Leibniz Universität Hannover 1 Økonomisk institutt, Universitetet i Oslo 1
Published in...
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Insurance / Mathematics & economics 5 Finance and stochastics 4 Mathematics and financial economics 3 Finance and Stochastics 2 International journal of financial engineering 2 Journal of economic dynamics & control 2 Journal of revenue and pricing management 2 Physica A: Statistical Mechanics and its Applications 2 Working Papers / HAL 2 ASTIN bulletin : the journal of the International Actuarial Association 1 CREATES Research Papers 1 Center for Mathematical Economics Working Papers 1 CoFE discussion papers 1 Diskussionsbeitrag 1 Economics Working Papers / School of Economics and Management, University of Aarhus 1 Hannover Economic Papers (HEP) 1 Insurance: Mathematics and Economics 1 Journal of Economic Dynamics and Control 1 Journal of financial engineering 1 Journal of mathematical economics 1 Mathematical finance : an international journal of mathematics, statistics and financial economics 1 Mathematical finance : an international journal of mathematics, statistics and financial theory 1 Mathematics and Computers in Simulation (MATCOM) 1 Memorandum 1 Memorandum / Department of Economics, University of Oslo 1 Memorandum / Økonomisk institutt, Universitetet i Oslo 1 Operations research letters 1 Risks 1 Risks : open access journal 1 SFB 649 Discussion Paper 1 SFB 649 Discussion Papers 1 The journal of computational finance 1 Working Papers / Facoltà di Economia, Università degli Studi di Urbino 1 Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW) 1
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Source
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ECONIS (ZBW) 29 RePEc 15 EconStor 5
Showing 1 - 10 of 49
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Fast and slow optimal trading with exogenous information
Cont, Rama; Micheli, Alessandro; Neuman, Eyal - In: Finance and stochastics 29 (2025) 2, pp. 553-607
Persistent link: https://www.econbiz.de/10015394810
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Optimal performance of a tontine overlay subject to withdrawal constraints
Forsyth, Peter; Vetzal, Kenneth R.; Westmacott, Graham - In: ASTIN bulletin : the journal of the International … 54 (2024) 1, pp. 94-128
Persistent link: https://www.econbiz.de/10014485602
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Trading with the crowd
Neuman, Eyal; Voß, Moritz - In: Mathematical finance : an international journal of … 33 (2023) 3, pp. 548-617
Persistent link: https://www.econbiz.de/10014329897
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Taming the spread of an epidemic by lockdown policies
Federico, Salvatore; Ferrari, Giorgio - 2020
We study the problem of a policymaker who aims at taming the spread of an epidemic while minimizing its associated social costs. The main feature of our model lies in the fact that the disease's transmission rate is a diffusive stochastic process whose trend can be adjusted via costly...
Persistent link: https://www.econbiz.de/10012388856
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Taming the spread of an epidemic by lockdown policies
Federico, Salvatore; Ferrari, Giorgio - 2020
We study the problem of a policymaker who aims at taming the spread of an epidemic while minimizing its associated social costs. The main feature of our model lies in the fact that the disease's transmission rate is a diffusive stochastic process whose trend can be adjusted via costly...
Persistent link: https://www.econbiz.de/10012269704
Saved in:
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A stochastic control approach to public debt management
Brachetta, Matteo; Ceci, Claudia - In: Mathematics and financial economics 16 (2022) 4, pp. 749-778
Persistent link: https://www.econbiz.de/10013438881
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Optimal trading : the importance of being adaptive
Bellani, Claudio; Brigo, Damiano; Done, Alex; Neuman, Eyal - In: International journal of financial engineering 8 (2021) 4, pp. 1-18
Persistent link: https://www.econbiz.de/10012815097
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Taming the spread of an epidemic by lockdown policies
Federico, Salvatore; Ferrari, Giorgio - In: Journal of mathematical economics 93 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10013184823
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A unified pricing of variable annuity guarantees under the optimal stochastic control framework
Shevchenko, Pavel V.; Luo, Xiaolin - In: Risks 4 (2016) 3, pp. 1-31
pricing of these products via an optimal stochastic control framework and review the existing numerical methods. We also …
Persistent link: https://www.econbiz.de/10011709561
Saved in:
Cover Image
A unified pricing of variable annuity guarantees under the optimal stochastic control framework
Shevchenko, Pavel V.; Luo, Xiaolin - In: Risks : open access journal 4 (2016) 3, pp. 1-31
pricing of these products via an optimal stochastic control framework and review the existing numerical methods. We also …
Persistent link: https://www.econbiz.de/10011507624
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