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Stochastic equity volatility related to the leverage effect

Bensoussan, Alain; Crouhy, Michel; Galai, Dan - 1994

Persistent link: https://www.econbiz.de/10000909451

Applied stochastic control in econometrics and management science

Bensoussan, Alain (ed.); Kleindorfer, Paul (contributor); … - 1980

Persistent link: https://www.econbiz.de/10000323886

Optimal consumption and investment with independent stochastic labor income

Bensoussan, Alain; Park, Seyoung - In: Mathematics of operations research 50 (2025) 1, pp. 356-389

Persistent link: https://www.econbiz.de/10015211707

Optimal ordering policies for stochastic inventory problems with observed information delays

Bensoussan, Alain; Çakanyıldırım, Metin; Feng, Qi; … - In: Production and operations management : an international … 18 (2009) 5, pp. 546-559

Persistent link: https://www.econbiz.de/10003898868

Linear-quadratic time-inconsistent mean field games

Bensoussan, Alain; Sung, K. C. P.; Yam, Sheung Chi Phillip - In: Dynamic games and applications : DGA 3 (2013) 4, pp. 537-552

Persistent link: https://www.econbiz.de/10010246344

The machine maintenance and sale age model of Kamien and Schwartz revisited

Bensoussan, Alain; Sethi, Suresh P. - In: Management science : journal of the Institute for … 53 (2007) 12, pp. 1964-1976

Persistent link: https://www.econbiz.de/10003600517

Unemployment risks and optimal retirement in an incomplete market

Bensoussan, Alain; Jang, Bong-Gyu; Park, Seyoung - In: Operations research 64 (2016) 4, pp. 1015-1032

Persistent link: https://www.econbiz.de/10011538586

Entrepreneurial decisions on effort and project with a nonconcave objective function

Bensoussan, Alain; Cadenillas, Abel; Koo, Hyeng-keun - In: Mathematics of operations research 40 (2015) 4, pp. 902-914

Persistent link: https://www.econbiz.de/10011408979

A splitting method for band control of brownian motion : with application to mutual reserve optimization

Bensoussan, Alain; Liu, John J.; Yuan, Jiguang - In: Operations research 72 (2024) 6, pp. 2665-2676

Persistent link: https://www.econbiz.de/10015371547

Optimal Ordering Policies for Stochastic Inventory Problems with Observed Information Delays

Bensoussan, Alain; Çakanyıldırım, M.; Feng, Qi; … - 2009

Information delays exist in an inventory system when it takes time to collect, process, validate, and transmit inventory/demand data. A general framework is developed in this paper to describe information flows in an inventory system with information delays. We characterize the suffcient...

Persistent link: https://www.econbiz.de/10014219970