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  • Search: subject:"dynamic programming equation"
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Year of publication
Subject
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condition-based maintenance 4 degradation modelling 4 imperfect maintenance 4 life-cycle management 4 non-stationary gamma process 4 renewal-type dynamic programming equation 4 Dynamic programming 2 Dynamische Optimierung 2 Portfolio selection 2 Portfolio-Management 2 Theorie 2 Theory 2 dynamic programming equation 2 Bank lending 1 Corporate international investment and consumption problem (CIICP) 1 Cost of capital 1 Credit 1 Credit risk 1 Dynamic Programming Equation 1 Dynamic programming equation (DPE) 1 Intertemporal choice 1 Intertemporale Entscheidung 1 Kapitalkosten 1 Kredit 1 Kreditgeschäft 1 Kreditrisiko 1 Large deviation 1 Quantile Constraint 1 Stochastic Target Problem 1 Stochastic hyperbolic discounting 1 Stochastic process 1 Stochastischer Prozess 1 Time consistency 1 Zeitkonsistenz 1 benchmark 1 borrowing costs 1 credit risk 1 optimal logarithmic moment generating function 1 optimal portfolio 1 portfolio decisions 1
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Online availability
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Free 5 CC license 1 Undetermined 1
Type of publication
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Book / Working Paper 5 Article 3
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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Undetermined 6 English 2
Author
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Nicolai, R.P. 4 Dekker, R. 2 Dekker, Rommert 2 Frenk, Frenk, J.B.G. 2 Frenk, J.B.G. 2 Bo, Lijun 1 Capponi, Agostino 1 Elie, Romuald 1 Gupta, Brij 1 Long, Jun 1 Nedjah, Nadia 1 Pham, Huyên 1 Zeng, Sanyun 1 Zhang, Jindan 1
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Institution
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Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. 1 Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam 1 Erasmus University Rotterdam, Econometric Institute 1 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 1 Université Paris-Dauphine (Paris IX) 1
Published in...
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ERIM Report Series Research in Management 1 Econometric Institute Report 1 Econometric Institute Research Papers 1 Economics Papers from University Paris Dauphine 1 Finance and Stochastics 1 Journal of innovation & knowledge : JIK 1 Mathematics of operations research 1 Research Paper / Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. 1
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Source
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RePEc 6 ECONIS (ZBW) 2
Showing 1 - 8 of 8
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Optimal strategy for corporate international investment and consumption problem with stochastic hyperbolic discounting
Long, Jun; Zeng, Sanyun; Gupta, Brij; Zhang, Jindan; … - In: Journal of innovation & knowledge : JIK 9 (2024) 1, pp. 1-12
dynamic programming equation based on the principles of dynamic programming, we seek to untangle the intricacies of CIICP by …
Persistent link: https://www.econbiz.de/10014507054
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Optimal credit investment with borrowing costs
Bo, Lijun; Capponi, Agostino - In: Mathematics of operations research 42 (2017) 2, pp. 546-575
Persistent link: https://www.econbiz.de/10011684545
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Modelling and optimizing imperfect maintenance of coatings on steel structures
Nicolai, R.P.; Frenk, J.B.G.; Dekker, R. - Erasmus University Rotterdam, Econometric Institute - 2007
solution of a continuous-time renewal-type dynamic programming equation. To solve this equation time is discretized and it is …-type dynamic programming equation. To solve this equation time is discretized and it is verified theoretically that this … maintenance, degradation modelling, non-stationary gamma process, renewal-type dynamic programming equation, life-cycle management …
Persistent link: https://www.econbiz.de/10005450859
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Modelling and Optimizing Imperfect Maintenance of Coatings on Steel Structures
Nicolai, R.P.; Frenk, J.B.G.; Dekker, R. - Erasmus Research Institute of Management (ERIM), ERIM … - 2007
solution of a continuous-time renewal-type dynamic programming equation. To solve this equation time is discretized and it is … maintenance decisions related to this problem are a solution of a continuous-time renewal-type dynamic programming equation. To … modelling, non-stationary gamma process, renewal-type dynamic programming equation, life-cycle management, condition …
Persistent link: https://www.econbiz.de/10005450966
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Cover Image
Modelling and Optimizing Imperfect Maintenance of Coatings on Steel Structures
Nicolai, R.P.; Dekker, Rommert; Frenk, Frenk, J.B.G. - Erasmus Research Institute of Management (ERIM), … - 2007
solution of a continuous-time renewal-type dynamic programming equation. To solve this equation time is discretized and it is …
Persistent link: https://www.econbiz.de/10010730891
Saved in:
Cover Image
Modelling and optimizing imperfect maintenance of coatings on steel structures
Nicolai, R.P.; Dekker, Rommert; Frenk, Frenk, J.B.G. - Faculteit der Economische Wetenschappen, Erasmus … - 2007
solution of a continuous-time renewal-type dynamic programming equation. To solve this equation time is discretized and it is …
Persistent link: https://www.econbiz.de/10010731639
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Quantile hedging and optimal control under stochastic target constraints
Elie, Romuald - Université Paris-Dauphine (Paris IX) - 2009
paper, we provide a new derivation of the dynamic programming equation for general stochastic target problems with unbounded …
Persistent link: https://www.econbiz.de/10011073104
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A large deviations approach to optimal long term investment
Pham, Huyên - In: Finance and Stochastics 7 (2003) 2, pp. 169-195
We consider an investment model where the objective is to overperform a given benchmark or index. We study this portfolio management problem for a long term horizon. This asymptotic criterion leads to a large deviation probability control problem. Its dual problem is an ergodic risk sensitive...
Persistent link: https://www.econbiz.de/10005613378
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