Search Results - subject:"Stochastic Control"

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Fiscal actions, optimal control and "crowding out" within the NIESR model

Arestis, P.; Karakitsos, E. - In: Greek economic review 2 (1980) 3, pp. 220-240

Persistent link: https://www.econbiz.de/10001860487

Optimal regional conjunctive water management

Noel, Jay E. - In: American journal of agricultural economics 62 (1980) 3, pp. 489-498

Persistent link: https://www.econbiz.de/10002578887

Buffer stock rules for world commodity markets : an application of optimal control theory

Lee, Seon - 1980

Persistent link: https://www.econbiz.de/10002478938

The optimal control of deterministic econometric planning models

Hsin, Jun Kuan Victor - 1980

Persistent link: https://www.econbiz.de/10002961536

Simulation analysis of economies stochastically controlled by stock- and order- signals

Kapitány, Zsuzsa - 1980

Persistent link: https://www.econbiz.de/10002315227

Expenditure of oil revenue : an optimal control approach with application to the Iranian economy

Motamen-Scobie, Homa - 1980

Persistent link: https://www.econbiz.de/10013485327

Risk-Sensitive Investment Management

Davis, Mark H A; Lleo, Sébastien - World Scientific Publishing Co. Pte. Ltd.

. Risk-sensitive investment management links stochastic control and portfolio management. Because of its distinct emphasis on … setting. The theoretical developments build on contemporary research in stochastic control theory, but are informed throughout …

Persistent link: https://www.econbiz.de/10011156399

The Merton Problem

Davis, Mark H. A.; Lleo, Sébastien - In: Risk-Sensitive Investment Management

, these papers made the key link with stochastic control theory. All theories of optimal investment in continuous time …

Persistent link: https://www.econbiz.de/10011206329

Asset and Liability Management

Davis, Mark H. A.; Lleo, Sébastien - In: Risk-Sensitive Investment Management

) problems have generated a substantial literature and a diversity of approach such as stochastic control (see Rudolf and Ziemba …

Persistent link: https://www.econbiz.de/10011206390

Infinite Horizon Problems

Davis, Mark H. A.; Lleo, Sébastien - In: Risk-Sensitive Investment Management

The problem we have considered so far relates to the finite horizon criterion $$J_{RS}^\theta (t;\,x,\,h)\,: = \, - {1 \over \theta }\ln {\Bbb E}{e^{ - \theta F(t;\,x,\,h)}}$$. There is also a rich literature on risk-sensitive control problems set over an infinite horizon, including Bielecki and...

Persistent link: https://www.econbiz.de/10011206413

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