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~subject:"Mathematische Optimierung"
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Search: subject:"Viscosity Solution"
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Mathematische Optimierung
Viscosity solution
42
viscosity solution
41
Theorie
20
Stochastic process
19
Stochastischer Prozess
19
Theory
19
Control theory
14
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14
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11
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11
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8
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Hamilton–Jacobi–Bellman equation
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7
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7
Dynamische Optimierung
6
Hamilton-Jacobi-Bellman equation
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Viscosity Solution
6
singular control
6
singular stochastic control
6
Backward stochastic differential equations
5
Dynamic programming principle
5
Dynkin game
5
Value function
5
dividend policy
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free boundary
5
stochastic control
5
HJB equation
4
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4
epidemic
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3
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Albrecher, Hansjörg
1
Azcue, Pablo
1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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Mathematical methods of operations research
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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:
2
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:
3
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:
4
Viscosity
solution
for optimal liquidation problems with randomly-terminated horizon
Yang, Qing-Qing
;
Ching, Wai Ki
;
Gu, Jia-wen
;
Wong, Tak Kwong
- In:
Finance research letters
61
(
2024
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014491014
Saved in:
5
Infinite-horizon optimal switching regions for a pair-trading strategy with quadratic risk aversion considering simultaneous multiple switchings : a
viscosity
solution
approach
Suzuki, Kiyoshi
- In:
Mathematics of operations research
46
(
2021
)
1
,
pp. 336-360
Persistent link: https://www.econbiz.de/10012498193
Saved in:
6
Regularity properties in a state-constrained expected utility maximization problem
Lazgham, Mourad
- In:
Mathematical methods of operations research
88
(
2018
)
2
,
pp. 185-240
Persistent link: https://www.econbiz.de/10011935660
Saved in:
7
Liquidity risk and optimal dividend/investment strategies
Chevalier, Etienne
;
Gaïgi, M’hamed
;
Ly Vath, Vathana
- In:
Mathematics and financial economics
11
(
2017
)
1
,
pp. 111-135
Persistent link: https://www.econbiz.de/10011900519
Saved in:
8
Stochastic target games and dynamic programming via regularized viscosity solutions
Bouchard, Bruno
;
Nutz, Marcel
- In:
Mathematics of operations research
41
(
2016
)
1
,
pp. 109-124
Persistent link: https://www.econbiz.de/10011448306
Saved in:
9
Regular finite fuel stochastic control problems with exit time
Rochlin, Dmitri B.
;
Mironenko, Georgii
- In:
Mathematical methods of operations research
84
(
2016
)
1
,
pp. 105-127
Persistent link: https://www.econbiz.de/10011673445
Saved in:
10
Utility maximization in an illiquid market in continuous time
Soner, Halil Mete
;
Vukelja, Mirjana
- In:
Mathematical methods of operations research
84
(
2016
)
2
,
pp. 285-321
Persistent link: https://www.econbiz.de/10011673528
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