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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 41 - 50 of 330
Cover Image
Taming the spread of an epidemic by lockdown policies
Federico, Salvatore; Ferrari, Giorgio - 2020
We study the problem of a policymaker who aims at taming the spread of an epidemic while minimizing its associated social costs. The main feature of our model lies in the fact that the disease's transmission rate is a diffusive stochastic process whose trend can be adjusted via costly...
Persistent link: https://www.econbiz.de/10012269704
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A bank salvage model by impulse stochastic controls
Cordoni, Francesco Giuseppe; Di Persio, Luca; Jiang, Yilun - In: Risks : open access journal 8 (2020) 2/60, pp. 1-31
task, showing that the corresponding quasi-variational inequality (QVI) admits a unique viscosity solution …
Persistent link: https://www.econbiz.de/10012292938
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Upper envelopes of families of feller semigroups and viscosity solutions to a class of nonlinear cauchy problems
Nendel, Max; Röckner, Michael - 2019
properties of the semigroup envelope and show that it is a viscosity solution to a nonlinear abstract Cauchy problem. We derive a …
Persistent link: https://www.econbiz.de/10012042157
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A model for the optimal management of inflation
Federico, Salvatore; Ferrari, Giorgio; Schuhmann, Patrick - 2019
techniques from viscosity theory and free-boundary analysis, we provide the structure of the value function and we show that it …
Persistent link: https://www.econbiz.de/10012388841
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Cover Image
Upper envelopes of families of feller semigroups and viscosity solutions to a class of nonlinear cauchy problems
Nendel, Max; Röckner, Michael - 2019
properties of the semigroup envelope and show that it is a viscosity solution to a nonlinear abstract Cauchy problem. We derive a …
Persistent link: https://www.econbiz.de/10012016106
Saved in:
Cover Image
A model for the optimal management of inflation
Federico, Salvatore; Ferrari, Giorgio; Schuhmann, Patrick - 2019
Persistent link: https://www.econbiz.de/10012177128
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Cover Image
A model for the optimal management of inflation
Federico, Salvatore; Ferrari, Giorgio; Schuhmann, Patrick - 2019
techniques from viscosity theory and free-boundary analysis, we provide the structure of the value function and we show that it …
Persistent link: https://www.econbiz.de/10012104458
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Cover Image
On regularized optimal execution problems and their singular limits
Souza, Max O.; Thamsten, Y. - In: Applied mathematical finance 29 (2022) 2, pp. 79-109
Persistent link: https://www.econbiz.de/10013554788
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Optimal renewable resource harvesting model using price and biomass stochastic variations : a utility based approach
Clément, Nyassoke Titi Gaston; Kamdem, Jules Sadefo; … - In: Mathematical methods of operations research : ZOR 95 (2022) 2, pp. 297-326
Persistent link: https://www.econbiz.de/10013454885
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Optimal control model of an enterprise for single and inheriting periods of carbon emission reduction
Liang, Jin; Huang, Wenlin - In: Mathematics and financial economics 16 (2022) 1, pp. 89-123
Persistent link: https://www.econbiz.de/10013167708
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