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Search: subject:"VISCOSITY"
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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
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Stochastic Control
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Transaction costs
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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
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Free
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CC license
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Article
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5
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197
English
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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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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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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
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Source
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RePEc
205
ECONIS (ZBW)
101
EconStor
16
BASE
5
Other ZBW resources
3
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11
Slow persuasion
Escudé, Matteo
;
Sinander, Ludvig
- In:
Theoretical Economics
18
(
2023
)
1
,
pp. 129-162
decision-maker takes an action in each period. Using a novel `
viscosity
' dynamic programming principle, we characterise the …
Persistent link: https://www.econbiz.de/10014536988
Saved in:
12
Slow persuasion
Escudé, Matteo
;
Sinander, Ludvig
- In:
Theoretical economics : TE ; an open access journal in …
18
(
2023
)
1
,
pp. 129-162
decision maker takes an action in each period. Using a novel “
viscosity
” dynamic programming principle, we characterize the …
Persistent link: https://www.econbiz.de/10014245397
Saved in:
13
Algorithmic market making in dealer markets with hedging and market impact
Barzykin, Alexander
;
Bergault, Philippe
;
Guéant, Olivier
- In:
Mathematical finance : an international journal of …
33
(
2023
)
1
,
pp. 41-79
Persistent link: https://www.econbiz.de/10014278660
Saved in:
14
Optimal dividends under a drawdown constraint and a curious square-root rule
Albrecher, Hansjörg
;
Azcue, Pablo
;
Muler, Nora
- In:
Finance and stochastics
27
(
2023
)
2
,
pp. 341-400
Persistent link: https://www.econbiz.de/10014253644
Saved in:
15
Operator semigroups in the mixed topology and the infinitesimal description of Markov processes
Goldys, Ben
;
Nendel, Max
;
Röckner, Michael
-
2022
convex, we prove that (Pt)t≥0 gives rise to
viscosity
solutions to the Cauchy problem of its associated (non linear …
Persistent link: https://www.econbiz.de/10014304791
Saved in:
16
Optimal vaccination in a SIRS epedemic model
Federico, Salvatore
;
Ferrari, Giorgio
;
Torrente, Maria-Laura
-
2022
-smooth veri fication theorem, guaranteeing that a semiconcave
viscosity
solution to the Hamilton-Jacobi-Bellman equation …
Persistent link: https://www.econbiz.de/10014304793
Saved in:
17
Optimal dividends for a two-dimensional risk model with simultaneous ruin of both branches
Strietzel, Philipp Lukas
;
Heinrich, Henriette Elisabeth
- In:
Risks : open access journal
10
(
2022
)
6
,
pp. 1-23
viscosity
solution of said HJB equation, satisfying certain growth conditions. Under some additional assumptions, we show that …
Persistent link: https://www.econbiz.de/10013363123
Saved in:
18
A continuous-time utility maximization problem with borrowing constraints in macroeconomic heterogeneous agent models : a case of regular controls under Markov chain uncertainty
Shigeta, Yuki
-
2022
Persistent link: https://www.econbiz.de/10013483914
Saved in:
19
Existence of invariant measure and stationary equilibrium in a continuous-time one-asset Aiyagari model : a case of regular controls under Markov chain uncertainty
Shigeta, Yuki
-
2022
Persistent link: https://www.econbiz.de/10013483915
Saved in:
20
Optimal vaccination in a SIRS epedemic model
Federico, Salvatore
;
Ferrari, Giorgio
;
Torrente, Maria-Laura
-
2022
-smooth veri fication theorem, guaranteeing that a semiconcave
viscosity
solution to the Hamilton-Jacobi-Bellman equation …
Persistent link: https://www.econbiz.de/10013252713
Saved in:
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