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  • Search: subject:"Verification theorem"
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Year of publication
Subject
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Verification theorem 13 Portfolio selection 7 Portfolio-Management 7 verification theorem 7 Theorie 6 Theory 6 Dynamic programming 5 Dynamische Optimierung 5 Mathematical programming 5 Mathematische Optimierung 5 Stochastic process 5 Stochastischer Prozess 5 Coronavirus 4 Epidemic 4 Epidemie 4 Game theory 4 Hamilton-Jacobi-Bellman equation 4 Spieltheorie 4 Consumption theory 3 Control theory 3 Dynamic moral hazard 3 Konsumtheorie 3 Kontrolltheorie 3 Optimal incentives 3 Optimal securitization 3 Principal/agent problem 3 SIRS model 3 Stochastic control 3 Arzneimittel 2 COVID-19 2 Correlation 2 Gesundheitspolitik 2 Health policy 2 Hilbert spaces 2 Impfung 2 Infectious disease 2 Infektionskrankheit 2 Investition 2 Investment 2 Korrelation 2
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Online availability
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Undetermined 14 Free 8 CC license 1
Type of publication
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Article 15 Book / Working Paper 9
Type of publication (narrower categories)
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Article in journal 13 Aufsatz in Zeitschrift 13 Working Paper 7 Arbeitspapier 4 Graue Literatur 4 Non-commercial literature 4
Language
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English 20 Undetermined 4
Author
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Ferrari, Giorgio 7 Fabbri, Giorgio 3 Federico, Salvatore 3 Gozzi, Fausto 3 Possamaï, Dylan 3 Torrente, Maria-Laura 3 De Angelis, Tiziano 2 Koch, Torben 2 Kraft, Holger 2 Pagès, Henri 2 Zanco, Giovanni 2 Bellalah, Mondher 1 Bouremani, Touffik 1 Cheng, Yuyang 1 Chiu, Mei Choi 1 Deng, Shuoqing 1 Escobar, Marcos 1 Honda, Toshiki 1 Huang, Qi 1 Kamimura, Shoji 1 Li, Xun 1 Ma, Guiyuan 1 Meyer-Wehmann, André 1 Pages, Henri 1 Pham, Huyên 1 Seifried, Frank Thomas 1 Shi, Jingtao 1 Slimani, Yacine 1 Swiech, Andrzej 1 Weiss, Farina 1 Wong, Hoi Ying 1 Xu, Jingsi 1 Yu, Xiang 1 Zhang, Detao 1 Zhang, Panpan 1 Zhu, Song-Ping 1
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Institution
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Université Paris-Dauphine (Paris IX) 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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Center for Mathematical Economics Working Papers 3 Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW) 3 Dynamic games and applications : DGA 2 Finance and stochastics 2 Quantitative finance 2 Asia-Pacific Financial Markets 1 Economic theory 1 Economics Papers from University Paris Dauphine 1 European journal of operational research : EJOR 1 Finance and Stochastics 1 IMA journal of management mathematics 1 International journal of theoretical and applied finance 1 Journal of economic dynamics & control 1 Journal of mathematical economics 1 LIDAM discussion paper IRES 1 MPRA Paper 1 Mathematics and financial economics 1
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Source
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ECONIS (ZBW) 17 RePEc 4 EconStor 3
Showing 21 - 24 of 24
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A mathematical treatment of bank monitoring incentives
Pages, Henri; Possamaï, Dylan - In: Finance and Stochastics 18 (2014) 1, pp. 39-73
In this paper, we take up the analysis of a principal/agent model with moral hazard introduced by Pages (J. Financ. Intermed.), with optimal contracting between competitive investors and an impatient bank monitoring a pool of long-term loans subject to Markovian contagion. We provide here a...
Persistent link: https://www.econbiz.de/10010997056
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Cover Image
A mathematical treatment of bank monitoring incentives
Pagès, Henri; Possamaï, Dylan - In: Finance and stochastics 18 (2014) 1, pp. 39-73
Persistent link: https://www.econbiz.de/10010235458
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Cover Image
Verification theorem and construction of epsilon-optimal controls for control of abstract evolution equations
Fabbri, Giorgio; Gozzi, Fausto; Swiech, Andrzej - Volkswirtschaftliche Fakultät, … - 2007
, including a class of semilinear partial differential equations. We introduce and prove a verification theorem which provides a …
Persistent link: https://www.econbiz.de/10005835832
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On the Verification Theorem of Dynamic Portfolio-Consumption Problems with Stochastic Market Price of Risk
Honda, Toshiki; Kamimura, Shoji - In: Asia-Pacific Financial Markets 18 (2011) 2, pp. 151-166
Persistent link: https://www.econbiz.de/10009150534
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