Search Results - subject:"Quasi-Variational Inequalities"

Voluntary environmental effort under (s,S) inventory policy

Bensoussan, Alain; El Ouardighi, Fouad - In: International journal of production research 62 (2024) 1/2, pp. 522-535

Persistent link: https://www.econbiz.de/10014455155

An impulse-regime switching game model of vertical competition

Aïd, René; Campi, Luciano; Li, Liangchen; Ludkovski, Mike - In: Dynamic games and applications : DGA 11 (2021) 4, pp. 631-669

Persistent link: https://www.econbiz.de/10012666343

Nonzero-sum stochastic games and mean-field games with impulse controls

Basei, Matteo; Cao, Haoyang; Guo, Xin - In: Mathematics of operations research 47 (2022) 1, pp. 341-366

Persistent link: https://www.econbiz.de/10013364867

Dynkin games with incomplete and asymmetric information

De Angelis, Tiziano; Ekström, Erik; Glover, Kristoffer - In: Mathematics of operations research 47 (2022) 1, pp. 560-586

Persistent link: https://www.econbiz.de/10013364901

Robust classical-impulse stochastic control problems in an infinite horizon

Pun, Chi Seng - In: Mathematical methods of operations research : ZOR 96 (2022) 2, pp. 291-312

Persistent link: https://www.econbiz.de/10013455036

Restricted participation on financial markets : a general equilibrium approach using variational inequality methods

Donato, Maria Bernadette; Milasi, Monica; Villanacci, … - In: Networks and spatial economics : a journal of … 22 (2022) 2, pp. 327-359

Persistent link: https://www.econbiz.de/10013455387

A threshold type policy for trading a mean-reverting asset with fixed transaction costs

Luu, Phong; Tie, Jingzhi; Zhang, Qing - In: Risks 6 (2018) 4, pp. 1-15

A mean-reverting model is often used to capture asset price movements fluctuating around its equilibrium. A common strategy trading such mean-reverting asset is to buy low and sell high. However, determining these key levels in practice is extremely challenging. In this paper, we study the...

Persistent link: https://www.econbiz.de/10011996646

A threshold type policy for trading a mean-reverting asset with fixed transaction costs

Luu, Phong; Tie, Jingzhi; Zhang, Qing - In: Risks : open access journal 6 (2018) 4, pp. 1-15

Persistent link: https://www.econbiz.de/10011906215

Optimal fee structure of variable annuities

Wang, Gu; Zou, Bin - In: Insurance / Mathematics & economics 101 (2021) 2, pp. 587-601

Persistent link: https://www.econbiz.de/10012793954

Optimal exchange rates management using stochastic impulse control for geometric Lévy processes

Wu, Jinbiao - In: Mathematical methods of operations research 89 (2019) 2, pp. 257-280

Persistent link: https://www.econbiz.de/10012010370