Search Results - subject:"Optimal stochastic control"

E-monotone Fourier methods for optimal stochastic control in finance

Forsyth, Peter; Labahn, George - In: The journal of computational finance 22 (2018/2019) 4, pp. 25-71

Persistent link: https://www.econbiz.de/10012042218

Incorporating signals into optimal trading

Lehalle, Charles-Albert; Neuman, Eyal - In: Finance and stochastics 23 (2019) 2, pp. 275-311

Persistent link: https://www.econbiz.de/10012023738

Optimal reinsurance for Gerber-Shiu functions in the Cramér-Lundberg model

Preischl, M.; Thonhauser, S. - In: Insurance / Mathematics & economics 87 (2019), pp. 82-91

Persistent link: https://www.econbiz.de/10012058918

The effect of small intervention costs on the optimal extraction of dividends and renewable resources in a jump-diffusion model

Framstad, Nils Chr. - 2014

A risk-neutral agent optimizes extraction of dividends or renewable natural resources modelled by a jump-diffusion stock process, where the optimal strategy is characterized as the minimal intervention required to keep the stock process inside a given region. The introduction of a small fixed...

Persistent link: https://www.econbiz.de/10011335599

The Effect of Small Intervention Costs on the Optimal Extraction of Dividends and Renewable Resources in a Jump-Diffusion Model

Framstad, Nils Chr. - Økonomisk institutt, Universitetet i Oslo - 2014

Persistent link: https://www.econbiz.de/10011171785

The effect of small intervention costs on the optimal extraction of dividends and renewable resources in a jump-diffusion model

Framstad, Nils Chr. - 2014 - This version November 27, 2014

Persistent link: https://www.econbiz.de/10010436722

The impact of negative interest rates on optimal capital injections

Eisenberg, Julia; Krühner, Paul - In: Insurance / Mathematics & economics 82 (2018), pp. 1-10

Persistent link: https://www.econbiz.de/10011929772

Optimality of an affine intensity policy for maximizing the probability of an arrival count in point-process intensity control

Defourny, Boris - In: Operations research letters 46 (2018) 1, pp. 51-55

Persistent link: https://www.econbiz.de/10011807908

Mean field game of controls and an application to trade crowding

Cardaliaguet, Pierre; Lehalle, Charles-Albert - In: Mathematics and financial economics 12 (2018) 3, pp. 335-363

Persistent link: https://www.econbiz.de/10011963860

Pollution control: targets and dynamics.

Travaglini, Giuseppe - Facoltà di Economia, Università degli Studi di Urbino - 2012

In this paper I study the e¤ects of environmental regulation which establishes upper and lower binding targets to pollution emissions. Essentially, I deal with the properties of a stochastic model of pollution control in continuous-time under emission targets and uncertainty, emphasizing...

Persistent link: https://www.econbiz.de/10009395806