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  • Search: subject:"Stochastic Optimal Control"
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Year of publication
Subject
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stochastic optimal control 114 Kontrolltheorie 108 Stochastischer Prozess 104 Control theory 101 Stochastic process 99 Stochastic optimal control 95 Mathematical programming 57 Mathematische Optimierung 57 Portfolio selection 48 Portfolio-Management 48 Dynamic programming 44 Dynamische Optimierung 38 Theorie 24 Theory 20 Hamilton-Jacobi-Bellman equation 19 Stochastic Optimal Control 16 Risikomanagement 14 Pension fund 13 Pensionskasse 12 Altersvorsorge 11 Option pricing theory 11 Optionspreistheorie 11 Retirement provision 11 Risk management 11 Securities trading 11 Wertpapierhandel 11 foreign debt 11 dynamic programming 10 Markov chain 9 Markov-Kette 9 Risk 9 international finance 9 Algorithm 8 Algorithmus 8 Electronic trading 8 Elektronisches Handelssystem 8 Reinsurance 8 Risiko 8 vulnerability to external shocks 8 HJB equation 7
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Online availability
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Undetermined 121 Free 98 CC license 4
Type of publication
All
Article 170 Book / Working Paper 78
Type of publication (narrower categories)
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Article in journal 111 Aufsatz in Zeitschrift 111 Working Paper 32 Graue Literatur 18 Non-commercial literature 18 Arbeitspapier 17 Article 8 Hochschulschrift 2 Thesis 2 research-article 2
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Language
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English 178 Undetermined 69 Spanish 1
Author
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Stein, Jerome L. 31 Guéant, Olivier 12 Vigna, Elena 9 Federico, Salvatore 7 Gozzi, Fausto 7 Pelsser, Antoon André Jean 5 Azzato, Jeffrey D. 4 Bergault, Philippe 4 Di Giacinto, Marina 4 Fleming, Wendell 4 Grecksch, W. 4 Pu, Jiang 4 Elbakidze, Levan 3 Ewald, Christian-Oliver 3 Gharbi, Ali 3 Giacinto, Marina Di 3 Giribone, Pier Giuseppe 3 Guerrazzi, Marco 3 Guo, Junyi 3 Imkeller, Peter 3 Jaimungal, Sebastian 3 Kamma, Thijs 3 Krawczyk, Jacek 3 Liang, Zhibin 3 Lim, Guay C. 3 Lu, Liang 3 Naik, Prasad A. 3 Paladino, Giovanna 3 Rong, Ximin 3 Staudigl, Mathias 3 Steg, Jan-Henrik 3 Szölgyenyi, Michaela 3 Vargiolu, Tiziano 3 Young, Virginia R. 3 Zhang, Jianing 3 Zhang, Xiaoyi 3 Zhao, Hui 3 BATTOCCHIO, Paolo 2 Baumgärtner, Stefan 2 Bender, Christian 2
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Institution
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CESifo 10 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 6 Agricultural and Applied Economics Association - AAEA 4 Collegio Carlo Alberto, Università degli Studi di Torino 3 Departamento de Estadistica, Universidad Carlos III de Madrid 2 EconWPA 2 HAL 2 Institut de Recherche Économique et Sociale (IRES), École des Sciences Économiques de Louvain 2 Institut für Weltwirtschaft (IfW) 2 Australian Agricultural and Resource Economics Society - AARES 1 Centre for Research on Pensions and Welfare Policies (CeRP), Collegio Carlo Alberto 1 Crawford School of Public Policy, Australian National University 1 Department of Economics, University of Connecticut 1 Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld 1 Institutionen för Nationalekonomi, Umeå Universitet 1 Université Paris-Dauphine 1 Université Paris-Dauphine (Paris IX) 1 World Institute for Development Economic Research (UNU/WIDER), United Nations University 1
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Published in...
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European journal of operational research : EJOR 13 CESifo Working Paper Series 10 CESifo Working Paper 9 Insurance / Mathematics & economics 9 Journal of mathematical finance 6 MPRA Paper 6 Risks : open access journal 6 Applied mathematical finance 5 CESifo working papers 5 Insurance: Mathematics and Economics 5 Risks 5 Computational Statistics 4 Computational economics 4 Finance and Stochastics 4 International journal of production economics 4 Mathematical Methods of Operations Research 4 Mathematical finance : an international journal of mathematics, statistics and financial theory 4 Operations research 4 Quantitative finance 4 Scandinavian actuarial journal 4 Carlo Alberto Notebooks 3 European Journal of Operational Research 3 International journal of theoretical and applied finance 3 Iranian Economic Review 3 Manufacturing & service operations management : M & SOM 3 Mathematical methods of operations research 3 Netspar academic series 3 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 2 Computational Economics 2 Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2 Economic Modelling 2 Economics Discussion Papers 2 Economics Discussion Papers / Institut für Weltwirtschaft (IfW) 2 Finance 2 International Journal of Theoretical and Applied Finance (IJTAF) 2 Journal of Global Optimization 2 LogForum : elektroniczne czasopismo naukowe z dziedziny logistyki 2 Mathematics and financial economics 2 Operations research letters 2 Physica A: Statistical Mechanics and its Applications 2
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Source
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ECONIS (ZBW) 131 RePEc 90 EconStor 23 Other ZBW resources 3 BASE 1
Showing 151 - 160 of 248
Cover Image
General intensity shapes in optimal liquidation
Guéant, Olivier; Lehalle, Charles-Albert - In: Mathematical finance : an international journal of … 25 (2015) 3, pp. 457-495
Persistent link: https://www.econbiz.de/10011350585
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Replenishment, production and quality control strategies in three-stage supply chain
Hlioui, Rached; Gharbi, Ali; Hajji, Adnène - In: International journal of production economics 166 (2015), pp. 90-102
Persistent link: https://www.econbiz.de/10011334061
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Accelerated share repurchase : pricing and execution strategy
Guéant, Olivier; Pu, Jiang; Royer, Guillaume - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10011403749
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Optimal savings management for individuals with defined contribution pension plans
Konicz, Agnieszka Karolina; Mulvey, John M. - In: European journal of operational research : EJOR 243 (2015) 1, pp. 233-247
Persistent link: https://www.econbiz.de/10010492965
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A stochastic control approach to option market making
El Aoud, Sofiene; Abergel, Frédéric - In: Market microstructure and liquidity 1 (2015) 1, pp. 1-43
Persistent link: https://www.econbiz.de/10011588196
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Modelling optimal execution strategies for algorithmic trading
Damian, Virgil - In: Theoretical and applied economics : GAER review 22 (2015) 4, pp. 99-104
Persistent link: https://www.econbiz.de/10011559331
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A tale of two debt crises: a stochastic optimal control analysis
Stein, Jerome L. - 2008
literature of stochastic optimal control/dynamic programming to derive an optimal debt in an environment where there are risks on …
Persistent link: https://www.econbiz.de/10010264305
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A Tale of Two Debt Crises: A Stochastic Optimal Control Analysis
Stein, Jerome L. - CESifo - 2008
literature of stochastic optimal control/dynamic programming to derive an optimal debt in an environment where there are risks on …
Persistent link: https://www.econbiz.de/10005406070
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The Paradox of Risk Balancing: Do Risk-reducing Policies Lead to More Risk for Farmers?
Cheng, Mei-luan; Gloy, Brent A. - Agricultural and Applied Economics Association - AAEA - 2008
The study presents stochastic optimal control/dynamic programming (SOC/DP) to derive the optimal debt level and …
Persistent link: https://www.econbiz.de/10005039266
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Choosing the Optimal Annuitization Time Post Retirement
Gerrard, Russell; Højgaard, Bjarne; Vigna, Elena - Collegio Carlo Alberto, Università degli Studi di Torino - 2008
In the context of decision making for retirees of a defined contribution pension scheme in the de-cumulation phase, we formulate and solve a problem of finding the optimal time of annuitization for a retiree having the possibility of choosing her own investment and consumption strategy. We...
Persistent link: https://www.econbiz.de/10005094050
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