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Optimal timing of regime switching in optimal growth models: A Sobolev space approach

Van, Cuong Le; Dogan, Erol; Saglam, Cagri - HAL - 2011

variations and some basic properties of Sobolev spaces. …

Persistent link: https://www.econbiz.de/10008795441

Optimal timing of regime switching in optimal growth models: A Sobolev space approach

Van, Cuong Le; Dogan, Erol; Saglam, Cagri - HAL - 2011

variations and some basic properties of Sobolev spaces. …

Persistent link: https://www.econbiz.de/10010635088

Optimal control in infinite horizon problems: a Sobolev spaces approach

Van, Cuong Le; Boucekkine, Raouf; Saglam, Cagri - HAL - 2007

In this paper, we make use of the Sobolev space W1,1 (R+,Rn) toderive at once the Pontryagin conditions for the standard optimalgrowth model in continuous time, including a necessary and sufficienttransversality condition. An application to the Ramsey model is given.We use an order ideal...

Persistent link: https://www.econbiz.de/10010750853

Constrained general regression in pseudo-Sobolev spaces with application to option pricing

Hlávka, Zdeněk; Peésta, Michal - 2006

State price density (SPD) contains important information concerning market expectations. In existing literature, a constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space. We improve the behavior of this estimator by implementing a covariance structure...

Persistent link: https://www.econbiz.de/10010274279

Constrained General Regression in Pseudo-Sobolev Spaces with Application to Option Pricing

Hlavka, Zdenek; Pesta, Michal - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

SFB 649 Discussion Paper 2006-069 Constrained General Regression in Pseudo- Sobolev Spaces … Regression in Pseudo-Sobolev Spaces with Application to Option Pricing∗ Zdenˇek Hl´avka Michal Peˇsta Charles University in … both the observed Put and Call option prices. Keywords and Phrases: isotonic regression, Sobolev spaces, monotonicity …

Persistent link: https://www.econbiz.de/10005652754

Optimal control in infinite horizon problems : a Sobolev space approach

Van, Cuong Le; Boucekkine, Raouf; Saglam, Cagri - HAL - 2005

In this paper, we make use of the Sobolev space W1,1(R+, Rn) to derive at once the Pontryagin conditions for the standard optimal growth model in continuous time, including a necessary and sufficient transversality condition. An application to the Ramsey model is given. We use an order ideal...

Persistent link: https://www.econbiz.de/10010750791

Optimal control in infinite horizon problems : a Sobolev space approach.

Van, Cuong Le; Boucekkine, Raouf; Saglam, Cagri - Maison des Sciences Économiques, Université Paris 1 … - 2005

In this paper, we make use of the Sobolev space W1,1(R+, Rn) to derive at once the Pontryagin conditions for the standard optimal growth model in continuous time, including a necessary and sufficient transversality condition. An application to the Ramsey model is given. We use an order ideal...

Persistent link: https://www.econbiz.de/10005670972

Optimal control in infinite horizon problems: A Sobolev space approach

LE VAN, Cuong; BOUCEKKINE, Raouf; SAGLAM, Cagri - Center for Operations Research and Econometrics (CORE), … - 2004

In this paper, we make use of the Sobolev space W exp.1,1 (R+, R exp.n) to derive at once the Pontryagin conditions for the standard optimal growth model in continuous time, including a necessary and sufficient transversality condition. An application to the Ramsey model is given. We use an...

Persistent link: https://www.econbiz.de/10005043219