Search Results - subject:"Stochastic Control"

Nash equilibria in greenhouse gas offset credit markets

Welsh, Liam; Jaimungal, Sebastian - In: Journal of commodity markets : JCM 35 (2024), pp. 1-22

Persistent link: https://www.econbiz.de/10015077314

A critical introduction to the usual robust control framework in macroeconomics

Tucci, Marco Paolo - In: Computational economics 64 (2024) 2, pp. 625-641

Persistent link: https://www.econbiz.de/10015078051

Variational inequalities and smooth-fit principle for singular stochastic control problems in Hilbert spaces

Federico, Salvatore; Ferrari, Giorgio; Riedel, Frank; … - 2024

We consider a class of infinite-dimensional singular stochastic control problems. These can be thought of as spatial …

Persistent link: https://www.econbiz.de/10014547458

A simple planning problem for COVID-19 lockdown : a dynamic programming approach

Calvia, Alessandro; Gozzi, Fausto; Lippi, Francesco; … - In: Economic theory 77 (2024) 1/2, pp. 169-196

Persistent link: https://www.econbiz.de/10014552687

Cooperation, correlation and competition in ergodic N-player games and mean-field games of singular controls : a case study

Cannerozzi, Federico; Ferrari, Giorgio - 2024

We consider ergodic symmetric N-player and mean-field games of singular control in both cooperative and competitive settings. The state process dynamics of a representative player follow geometric Brownian motion, controlled additively through a nondecreasing process. Agents aim to maximize a...

Persistent link: https://www.econbiz.de/10014526152

On the adaptation of the Lagrange formalism to continuous time stochastic optimal control : a Lagrange-Chow redux

Ewald, Christian; Nolan, Charles - 2024

Persistent link: https://www.econbiz.de/10014529902

Advances in applied optimal control and combinatorial optimization : special isssue in honor of Richard F. Hartl

Dawid, Herbert; Dörner, Karl Franz; Feichtinger, Gustav; … - In: Central European journal of operations research 32 (2024) 2, pp. 177-182

Persistent link: https://www.econbiz.de/10014537290

Optimal trading with regime switching : numerical and analytic techniques applied to valuing storage in an electricity balancing market

Johnson, Paul; Szabó, Dávid Zoltán; Duck, Peter - In: European journal of operational research : EJOR 319 (2024) 2, pp. 611-624

Persistent link: https://www.econbiz.de/10015084871

Notes on random optimal control equilibrium problem via stochastic inverse variational inequalities

Barbagallo, Annamaria; Pansera, Bruno Antonio; Ferrara, … - In: Computational management science 21 (2024) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10014636789

Optimal investment-consumption-insurance strategy with inflation risk and stochastic income in an Itô-Lévy setting

Moagi, Gaoganwe S.; Doctor, Obonye - In: International journal of financial engineering 11 (2024) 2, pp. 1-19

Persistent link: https://www.econbiz.de/10014574920