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Search: subject:"Stochastic Dynamic System"
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stochastic dynamic system
4
Lyapunov exponents
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Nord Pool
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Controlled Differential Inclusion
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Optimal Control
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Set-valued Stochastic Dynamic System
2
Stochastic Dynamic System
2
Stochastic Minimum Principle
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feedforward neural network
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market risk
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potential market risk
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smooth Lyapunov exponents
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spot electricity prices
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value-at-risk
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Feedforward Neural Network
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Feedforward neural network
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Lyapunov Exponents
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Nord pool
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Smooth Lyapunov Exponents
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Spot Electricity Prices
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Spot electricity prices
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Stability
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Stochastic dynamic system
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Bask, Mikael
7
Widerberg, Anna
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Liu, Tung
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Fritsch, Hagen
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Suomen Pankki
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Department of Economics, Ball State University
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Nationalekonomiska institutionen, Handelshögskolan
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Physica A: Statistical Mechanics and its Applications
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RePEc
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EconStor
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1
Measuring potential market risk
Bask, Mikael
-
2007
properties (?) of the
stochastic
dynamic
system
generating asset returns, while more traditional risk measures such as value …
Persistent link: https://www.econbiz.de/10012148009
Saved in:
2
Measuring potential market risk
Bask, Mikael
-
Suomen Pankki
-
2007
properties (l) of the
stochastic
dynamic
system
generating asset returns, while more traditional risk measures such as value …
Persistent link: https://www.econbiz.de/10005648975
Saved in:
3
The Stability and Volatility of Electricity Prices: An Illustration of (lambda, sigma-2) Analysis
Bask, Mikael
;
Widerberg, Anna
-
Nationalekonomiska institutionen, Handelshögskolan
-
2007
distinguish between the stability of a
stochastic
dynamic
system
and the volatility of a variable generated by this system. It is …
Persistent link: https://www.econbiz.de/10005651613
Saved in:
4
The stability of electricity prices: estimation and inference of the Lyapunov exponents
Bask, Mikael
;
Liu, Tung
;
Widerberg, Anna
-
2006
The aim of this paper is to illustrate how the stability of a
stochastic
dynamic
system
is measured using the Lyapunov …
Persistent link: https://www.econbiz.de/10012147965
Saved in:
5
The stability of electricity prices: estimation and inference of the Lyapunov exponents
Bask, Mikael
;
Liu, Tung
;
Widerberg, Anna
-
Suomen Pankki
-
2006
The aim of this paper is to illustrate how the stability of a
stochastic
dynamic
system
is measured using the Lyapunov …
Persistent link: https://www.econbiz.de/10005190763
Saved in:
6
The stability of electricity prices: Estimation and inference of the Lyapunov exponents
Bask, Mikael
;
Liu, Tung
;
Widerberg, Anna
- In:
Physica A: Statistical Mechanics and its Applications
376
(
2007
)
C
,
pp. 565-572
The aim of this paper is to illustrate how the stability of a
stochastic
dynamic
system
is measured using the Lyapunov …
Persistent link: https://www.econbiz.de/10010588713
Saved in:
7
The Stability of Electricity Prices: Estimation and Inference of the Lyapunov Exponent
Liu, Tung
;
Bask, Mikael
;
Widerberg, Anna
-
Department of Economics, Ball State University
-
2006
The aim of this paper is to illustrate how the stability of a
stochastic
dynamic
system
is measured using the Lyapunov …
Persistent link: https://www.econbiz.de/10005163071
Saved in:
8
A necessary extremality condition for a set-valued stochastic control problem
Fritsch, Hagen
- In:
Mathematical Methods of Operations Research
46
(
1997
)
1
,
pp. 29-49
For a controlled
stochastic
dynamic
system
with set-valued drift coefficient and a terminal cost functional we derive a …
Persistent link: https://www.econbiz.de/10010950289
Saved in:
9
A necessary extremality condition for a set-valued stochastic control problem
Fritsch, Hagen
- In:
Computational Statistics
46
(
1997
)
1
,
pp. 29-49
For a controlled
stochastic
dynamic
system
with set-valued drift coefficient and a terminal cost functional we derive a …
Persistent link: https://www.econbiz.de/10010759499
Saved in:
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