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  • Search: subject:"VISCOSITY"
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Year of publication
Subject
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viscosity solutions 53 Viscosity solution 48 viscosity solution 45 Theorie 44 Theory 43 Stochastic process 38 Stochastischer Prozess 38 Viscosity 38 Mathematical programming 32 Mathematische Optimierung 32 Viscosity solutions 30 Portfolio selection 28 Portfolio-Management 26 Control theory 22 Kontrolltheorie 22 Dynamic programming 19 Viscosity Solutions 19 Asset and Liability Management 16 Benchmarked Asset Management 16 Classical Solutions 16 Dynamic Investment Management 16 Dynamische Optimierung 16 Game theory 16 Hamilton–Jacobi–Bellman Equations 16 Jump Diffusion Processes 16 Kelly Criterion 16 Lévy Processes 16 Risk Sensitive Control 16 Spieltheorie 16 Stochastic Control 16 Transaction costs 16 viscosity 13 Biodiesel 12 Hamilton-Jacobi-Bellman equation 12 Investment 11 Dividend 10 Dividende 10 stochastic control 10 Hamilton–Jacobi–Bellman equation 9 Markov chain 9
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Online availability
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Undetermined 217 Free 72 CC license 13
Type of publication
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Article 254 Book / Working Paper 71 Other 5
Type of publication (narrower categories)
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Article in journal 79 Aufsatz in Zeitschrift 79 Working Paper 32 Arbeitspapier 19 Graue Literatur 19 Non-commercial literature 19 Article 3 Aufsatz im Buch 2 Book section 2 Conference paper 1 Hochschulschrift 1 Konferenzbeitrag 1 Thesis 1 research-article 1
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Language
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Undetermined 197 English 133
Author
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Federico, Salvatore 17 Lleo, Sébastien 17 Davis, Mark H. A. 16 Ferrari, Giorgio 13 Touzi, Nizar 12 Bouchard, Bruno 11 Gozzi, Fausto 9 Nendel, Max 8 Warin, Xavier 8 Pierre, Erwan 6 Röckner, Michael 6 Villeneuve, Stéphane 6 Buckdahn, Rainer 5 Schuhmann, Patrick 5 Soner, Halil Mete 5 Zariphopoulou, Thaleia 5 Azcue, Pablo 4 Bentahar, Imen 4 Mnif, Mohamed 4 Muhle-Karbe, Johannes 4 Muler, Nora 4 Quincampoix, Marc 4 Shibata, Hiroshi 4 Tourin, Agnès 4 Bagagiolo, Fabio 3 Ben Tahar, Imen 3 Cardaliaguet, Pierre 3 Chevalier, Etienne 3 Gassiat, Paul 3 Guéant, Olivier 3 Keller, Godfrey 3 Li, Juan 3 Ly Vath, Vathana 3 Pham, Huyên 3 Rady, Sven 3 Soner, H. Mete 3 Torrente, Maria-Laura 3 Abkar, Ali 2 Aivaliotis, Georgios 2 Alghalith, Moawia 2
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Institution
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Université Paris-Dauphine (Paris IX) 15 HAL 3 Université Paris-Dauphine 3 EconWPA 2 Instituto Valenciano de Investigaciones Económicas (IVIE) 2 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 2 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 1 Department of Economics, University of Connecticut 1 Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche, Università degli Studi di Torino 1 Institut d'Économie Industrielle (IDEI), Toulouse School of Economics (TSE) 1 London School of Economics (LSE) 1 Toulouse School of Economics (TSE) 1 UNIVERSIDAD DEL ROSARIO 1 World Scientific Publishing Co. Pte. Ltd. 1 Zentrum für Finanzen und Ökonometrie, Fachbereich Wirtschaftswissenschaften 1
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Published in...
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Physica A: Statistical Mechanics and its Applications 40 Finance and Stochastics 18 Economics Papers from University Paris Dauphine 15 Risk-Sensitive Investment Management 15 Renewable Energy 14 Stochastic Processes and their Applications 11 Center for Mathematical Economics Working Papers 9 Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW) 9 Applied Energy 8 Finance and stochastics 8 Dynamic games and applications : DGA 7 Computational Statistics 6 Mathematical Methods of Operations Research 6 Mathematics and financial economics 6 International journal of theoretical and applied finance 5 The European Physical Journal B - Condensed Matter and Complex Systems 5 Energies 4 International Journal of Theoretical and Applied Finance (IJTAF) 4 Journal of Global Optimization 4 Journal of mathematical economics 4 Mathematical methods of operations research 4 Mathematics and Computers in Simulation (MATCOM) 4 Mathematics of operations research 4 Renewable and Sustainable Energy Reviews 4 Technology audit and production reserves 4 Applied mathematical finance 3 Energy 3 European Journal of Operational Research 3 European journal of operational research : EJOR 3 Mathematical finance : an international journal of mathematics, statistics and financial theory 3 Open Access publications from Université Paris-Dauphine 3 Applied Mathematical Finance 2 CoFE Discussion Paper 2 Computational Optimization and Applications 2 Discussion paper series 2 Dynamic Games and Applications 2 Economic theory 2 IDEI working papers 2 Insurance / Mathematics & economics 2 Insurance: Mathematics and Economics 2
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Source
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RePEc 205 ECONIS (ZBW) 101 EconStor 16 BASE 5 Other ZBW resources 3
Showing 1 - 10 of 330
Cover Image
Optimization of heat-moisture treatment on potato starch and study on its physicochemical properties
Deng, Chunli; Melnyk, Oksana; Luo, Yanghe - In: Technology audit and production reserves 3 (2022) 3/65, pp. 43-49
Persistent link: https://www.econbiz.de/10013326637
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Variational inequalities and smooth-fit principle for singular stochastic control problems in Hilbert spaces
Federico, Salvatore; Ferrari, Giorgio; Riedel, Frank; … - 2024
-horizon. By combining properties of semiconcave functions and techniques from viscosity theory, we first show that the value … function of the problem V is a C1,Lip(H) -viscosity solution to the corresponding dynamic programming equation, which here … techniques from convex analysis and viscosity theory. …
Persistent link: https://www.econbiz.de/10014563912
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A comparison principle based on couplings of partial integro-differential operators
Della Corte, Serena; Fuchs, Fabian; Kraaij, Richard; … - 2024
This paper is concerned with a comparison principle for viscosity solutions to Hamilton-Jacobi (HJ), -Bellman (HJB …
Persistent link: https://www.econbiz.de/10015117589
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Hedging with physical or cash settlement under transient multiplicative price impact
Becherer, Dirk; Bilarev, Todor - In: Finance and Stochastics 28 (2024) 2, pp. 285-328
nonlinear price impact and resilience functions. The viscosity solutions describing the minimal superhedging price are governed …
Persistent link: https://www.econbiz.de/10015359568
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Hedging with physical or cash settlement under transient multiplicative price impact
Becherer, Dirk; Bilarev, Todor - In: Finance and stochastics 28 (2024) 2, pp. 285-328
Persistent link: https://www.econbiz.de/10015130302
Saved in:
Cover Image
Variational inequalities and smooth-fit principle for singular stochastic control problems in Hilbert spaces
Federico, Salvatore; Ferrari, Giorgio; Riedel, Frank; … - 2024
-horizon. By combining properties of semiconcave functions and techniques from viscosity theory, we first show that the value … function of the problem V is a C1,Lip(H)-viscosity solution to the corresponding dynamic programming equation, which here takes … techniques from convex analysis and viscosity theory. …
Persistent link: https://www.econbiz.de/10014547458
Saved in:
Cover Image
Design of the intensification method with the help of FracCADE software
Rubel, Victoriia; Pshyk, Vadym - In: Technology audit and production reserves 2 (2024) 1/76, pp. 42-50
Persistent link: https://www.econbiz.de/10014548049
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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
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On the fragility of the basis on the Hamilton-Jacobi-Bellman equation in economic dynamics
Hosoya, Yuhki - In: Journal of mathematical economics 111 (2024), pp. 1-10
Persistent link: https://www.econbiz.de/10015071624
Saved in:
Cover Image
A comparison principle based on couplings of partial integro-differential operators
Della Corte, Serena; Fuchs, Fabian; Kraaij, Richard; … - 2024
This paper is concerned with a comparison principle for viscosity solutions to Hamilton-Jacobi (HJ), -Bellman (HJB …
Persistent link: https://www.econbiz.de/10015101729
Saved in:
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