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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
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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 161 - 170 of 248
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A parallel Matlab package for approximating the solution to a continuous-time stochastic optimal control problem
Azzato, Jeffrey D.; Krawczyk, Jacek B. - Volkswirtschaftliche Fakultät, … - 2008
the generic name SOCSol can be used to obtain optimal solutions to continuous-time stochastic optimal control problems …
Persistent link: https://www.econbiz.de/10005621674
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A report on using parallel MATLAB for solutions to stochastic optimal control problems
Azzato, Jeffrey D.; Krawczyk, Jacek B. - Volkswirtschaftliche Fakultät, … - 2008
-time stochastic optimal control problems. In this report, we compare the performance of a new version of SOCSol utilising parallel …
Persistent link: https://www.econbiz.de/10005619454
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InfSOCSol2: an updated MATLAB package for approximating the solution to a continuous-time infinite horizon stochastic optimal control problem
Azzato, Jeffrey D.; Krawczyk, Jacek - Volkswirtschaftliche Fakultät, … - 2008
-horizon stochastic optimal control problem. The suite is an updated version of that described in [Kra01b]. Its routines implement a …
Persistent link: https://www.econbiz.de/10005789701
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Income drawdown option with minimum guarantee
Di Giacinto, Marina; Federico, Salvatore; Gozzi, Fausto; … - In: European Journal of Operational Research 234 (2014) 3, pp. 610-624
This paper deals with a constrained investment problem for a defined contribution (DC) pension fund where retirees are allowed to defer the purchase of the annuity at some future time after retirement.
Persistent link: https://www.econbiz.de/10010738169
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Optimizing mining rates under financial uncertainty in global mining complexes
Kizilkale, Arman C.; Dimitrakopoulos, Roussos - In: International Journal of Production Economics 158 (2014) C, pp. 359-365
This paper presents a distributed and dynamic programming framework to the mining production rate target tracking of multiple metal mines under financial uncertainty. A single mine׳s target tracking is stated as a stochastic optimization problem and the solution is obtained by solving the...
Persistent link: https://www.econbiz.de/10011076782
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Optimal quality provision when reputation is subject to random inspections
Hirschmann, David - In: Operations research letters 42 (2014) 1, pp. 64-69
Persistent link: https://www.econbiz.de/10010259244
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Income drawdown option with minimum guarantee
Di Giacinto, Marina; Federico, Salvatore; Gozzi, Fausto; … - In: European journal of operational research : EJOR 234 (2014) 3, pp. 610-624
Persistent link: https://www.econbiz.de/10010360497
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Optimizing mining rates under financial uncertainty in global mining complexes
Kizilkale, Arman C.; Dimitrakopoulos, Roussos - In: International journal of production economics 158 (2014), pp. 359-365
Persistent link: https://www.econbiz.de/10010437945
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An Optimal Surveillance Measure Against Foot-and-Mouth Disease in the United States
van Ha, Pham; Che, Tuong Nhu; Kompas, Tom - Australian Agricultural and Resource Economics Society … - 2007
an incursion occur. Taking border quarantine expenditures as given, this paper develops a stochastic optimal control …
Persistent link: https://www.econbiz.de/10005468640
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Using a finite horizon numerical optimisation method for a periodic optimal control problem
Azzato, Jeffrey D.; Krawczyk, Jacek - Volkswirtschaftliche Fakultät, … - 2007
to a given (stochastic) optimal control problem using Markov chains was developed in [3]. This paper describes an attempt …
Persistent link: https://www.econbiz.de/10005623242
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