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A discrete optimality system for an optimal harvesting problem

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Stochastic optimal control problem with obstacle constraints in sublinear expectation framework

Li, Hanwu; Wang, Falei - 2019

In this paper we consider a stochastic optimal control problem, in which the cost function is defined through a reflected backward stochastic differential equation in sublinear expectation framework. Besides, we study the regularity of the value function and establish the dynamic programming...

Persistent link: https://www.econbiz.de/10015423954

A continuous time framework for sequential goal-based wealth management

Capponi, Agostino; Zhang, Yuchong - In: Management science : journal of the Institute for … 70 (2024) 11, pp. 7664-7691

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Discrete mathematics and game theory

Owen, Guillermo - 1999

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Dynamic optimization and mathematical economics

Liu, Pan-Tai (ed.) - 1980

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Applied computational economics and finance

Miranda, Mario J.; Fackler, Paul L. - 2002

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Elements of dynamic optimization

Chiang, Alpha C. - 1992

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Discrete Mathematics and Game Theory

Owen, Guillermo - 1999

This book describes highly applicable mathematics without using calculus or limits in general. The study agrees with … the opinion that the traditional calculus/analysis is not necessarily the only proper grounding for academics who wish to … apply mathematics. The choice of topics is based on a desire to present those facets of mathematics which will be useful to …

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Dynamic optimization : the calculus of variations and optimal control in economics and management

Kamien, Morton I.; Schwartz, Nancy Lou - 1981

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