Search Results - subject:"stochastic singular control" - EconBiz

Dynamic Revenue Management of a Toll Road Project under Transportation Demand Uncertainty

Nagae, Takeshi; Akamatsu, Takashi - In: Networks and Spatial Economics 6 (2006) 3, pp. 345-357

account the long-term dynamics of transportation demand. This is first formulated as a stochastic singular control problem, in …

Persistent link: https://www.econbiz.de/10005698764

A unified approach to portfolio optimization with linear transaction costs

Zakamouline, Valeri - In: Mathematical Methods of Operations Research 62 (2005) 2, pp. 319-343

singular control or stochastic impulse control framework. In this paper we propose a unified framework, which generalizes the …, depending on a particular structure of transaction costs, such a problem is formulated and solved within either stochastic …

Persistent link: https://www.econbiz.de/10010950113

A unified approach to portfolio optimization with linear transaction costs

Zakamouline, Valeri - In: Computational Statistics 62 (2005) 2, pp. 319-343

singular control or stochastic impulse control framework. In this paper we propose a unified framework, which generalizes the …, depending on a particular structure of transaction costs, such a problem is formulated and solved within either stochastic …

Persistent link: https://www.econbiz.de/10010759321

A Unified Approach to Portfolio Optimization with Linear Transaction Costs

Zakamouline, Valeri - EconWPA - 2004

singular control or stochastic impulse control framework. In this paper we propose a unified framework, which generalizes the …, depending on a particular structure of transaction costs, such a problem is formulated and solved within either stochastic …

Persistent link: https://www.econbiz.de/10005125672

Consumption-investment problems with transaction costs: Survey and open problems

Cadenillas, Abel - In: Computational Statistics 51 (2000) 1, pp. 43-68

transaction costs in continuous time. The methods are those of optimal stopping, stochastic singular control, and stochastic …

Persistent link: https://www.econbiz.de/10010847687

Consumption-investment problems with transaction costs: Survey and open problems

Cadenillas, Abel - In: Mathematical Methods of Operations Research 51 (2000) 1, pp. 43-68

transaction costs in continuous time. The methods are those of optimal stopping, stochastic singular control, and stochastic …

Persistent link: https://www.econbiz.de/10010950108

A service of the