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  • Search: subject:"Sobolev spaces"
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Year of publication
Subject
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Sobolev spaces 13 Optimal control 4 order ideal 3 transversality conditions 3 Multi-stage optimal control 2 Optimal growth models 2 Order ideal 2 Transversality conditions 2 covariance structure 2 isotonic regression 2 monotonicity 2 multiple observations 2 option price 2 C 61 1 Confidence statement 1 Differential inequations 1 Green integral formulas 1 KdV equation 1 Local well-posedness 1 Loss estimation 1 Lp-theory 1 Lévy processes 1 Penalized likelihood 1 Spherically symmetric distribution 1 Stochastic partial differential equations 1 censored data 1 counting processes 1 kernel estimation 1 martingales 1 multiplicative intensity 1 optimal control 1 primary 62F10 1 secondary 26B20 1
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Online availability
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Free 8 Undetermined 5
Type of publication
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Book / Working Paper 8 Article 5
Type of publication (narrower categories)
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Working Paper 1
Language
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Undetermined 11 English 2
Author
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Saglam, Cagri 6 Van, Cuong Le 5 Boucekkine, Raouf 4 Dogan, Erol 2 Alexandrou Himonas, A. 1 Antoniadis, Anestis 1 BOUCEKKINE, Raouf 1 Fourdrinier, D. 1 Gorsky, Jennifer 1 Hlavka, Zdenek 1 Hlávka, Zdeněk 1 Kim, Kyeong-Hun 1 LE VAN, Cuong 1 Lepelletier, P. 1 Pesta, Michal 1 Peésta, Michal 1 SAGLAM, Cagri 1 Van, Cuong 1
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Institution
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HAL 4 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 1 Maison des Sciences Économiques, Université Paris 1 (Panthéon-Sorbonne) 1 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1
Published in...
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Post-Print / HAL 3 Annals of the Institute of Statistical Mathematics 2 CORE Discussion Papers 1 Cahiers de la Maison des Sciences Economiques 1 Economic Theory 1 Mathematics and Computers in Simulation (MATCOM) 1 SFB 649 Discussion Paper 1 SFB 649 Discussion Papers 1 Stochastic Processes and their Applications 1 Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) 1
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Source
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RePEc 12 EconStor 1
Showing 1 - 10 of 13
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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
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Cover Image
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
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A Sobolev space theory for parabolic stochastic PDEs driven by Lévy processes on C1-domains
Kim, Kyeong-Hun - In: Stochastic Processes and their Applications 124 (2014) 1, pp. 440-474
variables. Existence and uniqueness results are proved in (weighted) Sobolev spaces, and Lp-estimates and various properties of …
Persistent link: https://www.econbiz.de/10010719745
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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
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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
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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
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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
Saved in:
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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
Saved in:
Cover Image
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
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Well-posedness of KdV with higher dispersion
Gorsky, Jennifer; Alexandrou Himonas, A. - In: Mathematics and Computers in Simulation (MATCOM) 80 (2009) 1, pp. 173-183
It is shown that if the dispersion of the KdV equation is replaced by a higher order dispersion ∂xm, where m≥3 is an odd integer, then the critical Sobolev exponent for local well-posedness on the circle does not change. That is, the resulting equation is locally well-posed in Hs(T), s≥−1/2.
Persistent link: https://www.econbiz.de/10011050613
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