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Pricing hydroelectric power plants with/without operational restrictions : a stochastic control approach

Chen, Zhuliang; Forsyth, Peter - In: Nonlinear models in mathematical finance : new research …, (pp. 273-301). 2008

Persistent link: https://www.econbiz.de/10011954476

Portfolio optimization under a quantile hedging constraint

Bouveret, Géraldine - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-36

Persistent link: https://www.econbiz.de/10011956927

Infinite-horizon average optimality of the N-network in the Halfin-Whitt regime

Arapostathis, Ari; Pang, Guodong - In: Mathematics of operations research 43 (2018) 3, pp. 838-866

Persistent link: https://www.econbiz.de/10011914370

Dynamic learning of patient response types : an application to treating chronic diseases

Negoescu, Diana M.; Bimpikis, Kostas; Brandeau, Margaret L. - In: Management science : journal of the Institute for … 64 (2018) 8, pp. 3469-3488

Persistent link: https://www.econbiz.de/10011899846

Optimal entry to an irreversible investment plan with non convex costs

De Angelis, Tiziano; Ferrari, Giorgio; Martyr, Randall; … - In: Mathematics and financial economics 11 (2017) 4, pp. 423-454

Persistent link: https://www.econbiz.de/10011900577

Optimal stochastic control problem under model uncertainty with nonentropy penalty

Faidi, Wahid; Matoussi, Anis; Mnif, Mohamed - In: International journal of theoretical and applied finance 20 (2017) 3, pp. 1-41

Persistent link: https://www.econbiz.de/10011686954

Combining stochastic programming and optimal control to decompose multistage stochastic optimization problems

Barro, Diana; Canestrelli, Elio - In: OR spectrum : quantitative approaches in management 38 (2016) 3, pp. 711-742

Persistent link: https://www.econbiz.de/10011699618

Optimal boundary surface for irreversible investment with stochastic costs

De Angelis, Tiziano; Federico, Salvatore; Ferrari, Giorgio - In: Mathematics of operations research 42 (2017) 4, pp. 1135-1161

Persistent link: https://www.econbiz.de/10011773311

Optimal execution of accelerated share repuchase contracts with fixed notional

Guéant, Olivier - In: Journal of risk 19 (2017) 5, pp. 77-99

Persistent link: https://www.econbiz.de/10011747118

A solvable two-dimensional singular stochastic control problem with non convex costs

De Angelis, Tiziano; Ferrari, Giorgio; Moriarty, John - 2016

In this paper we provide a complete theoretical analysis of a two-dimensional degenerate non convex singular stochastic control problem. The optimisation is motivated by a storage-consumption model in an electricity market, and features a stochastic real-valued spot price modelled by Brownian...

Persistent link: https://www.econbiz.de/10011517458