Search Results - subject:"Stochastic Control"

Numerical solution of a long-term average control problem for singular stochastic processes

Kaczmarek, P.; Kent, S.; Rus, G.; Stockbridge, R.; Wade, B. - In: Mathematical Methods of Operations Research 66 (2007) 3, pp. 451-473

This paper analyzes numerically a long-term average stochastic control problem involving a controlled diffusion on a …

Persistent link: https://www.econbiz.de/10010949953

OPTIMAL PORTFOLIO CONSTRUCTION UNDER PARTIAL INFORMATION FOR A BALANCED FUND

KEEL, SIMON; HERZOG, FLORIAN; GEERING, HANS P.; … - In: International Journal of Theoretical and Applied … 10 (2007) 06, pp. 1015-1042

The model parameters in optimal asset allocation problems are often assumed to be deterministic. This is not a realistic assumption since most parameters are not known exactly and therefore have to be estimated. We consider investment opportunities which are modeled as local geometric Brownian...

Persistent link: https://www.econbiz.de/10005060215

The Machine Maintenance and Sale Age Model of Kamien and Schwartz Revisited

Bensoussan, Alain; Sethi, Suresh P. - In: Management Science 53 (2007) 12, pp. 1964-1976

problem that are stochastic control problems not easily solvable or not at all solvable as deterministic problems. …

Persistent link: https://www.econbiz.de/10009204152

A comparison of five federal reserve chairmen : was greenspan the best?

Fair, Ray C. - In: The B.E. journal of macroeconomics 7 (2007) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10009616772

Optimal control of biological invasions in lake networks

Potapov, Alexei B.; Lewis, Mark A.; Finnoff, David C. - In: Natural resource modeling : the official journal of the … 20 (2007) 3, pp. 351-379

Persistent link: https://www.econbiz.de/10003674534

Cooperative systems : control and optimization ; with 17 tables

Grundel, Don (ed.) - 2007

Persistent link: https://www.econbiz.de/10003377454

The parameter set in an adaptive control Monte Carlo experiment : some considerations

Tucci, Marco Paolo; Kendrick, David A.; Amman, Hans M. - 2007

Persistent link: https://www.econbiz.de/10003825394

Dynamisches Bestandsmanagement in der Kreislauflogistik

Kleber, Rainer - In: Operations research proceedings 2006 : selected papers …, (pp. 23-28). 2007

Persistent link: https://www.econbiz.de/10003469866

Determining SMB superstructures by mixed-integer optimal control

Sager, Sebastian; Diehl, Moritz; Singh, Gundeep; … - In: Operations research proceedings 2006 : selected papers …, (pp. 37-42). 2007

Persistent link: https://www.econbiz.de/10003469869

Managing the quality of a resource with stock and flow controls

Keohane, Nathaniel O.; Van Roy, Benjamin; Zeckhauser, … - In: Journal of public economics 91 (2007) 3/4, pp. 541-569

Persistent link: https://www.econbiz.de/10003428517