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Minimizing the probability of lifetime drawdown under constant consumption
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. - In: Insurance / Mathematics & economics 69 (2016), pp. 210-223
Persistent link: https://www.econbiz.de/10011533908
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Optimal strategies for a non-linear premium-reserve model in a competitive insurance market
Pantelous, Athanasios A.; Passalidou, Eudokia - In: Annals of actuarial science : publ. by the Institute of … 11 (2017) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10011730232
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Robust inventory management : an optimal control approach
Wagner, Michael R. - In: Operations research 66 (2018) 2, pp. 426-447
Persistent link: https://www.econbiz.de/10011845974
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Benchmarking a scalable approximate dynamic programming algorithm for stochastic control of grid-level energy storage
Salas, Daniel F.; Powell, Warren B. - In: INFORMS journal on computing : JOC 30 (2018) 1, pp. 106-123
Persistent link: https://www.econbiz.de/10011848153
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Optimality of an affine intensity policy for maximizing the probability of an arrival count in point-process intensity control
Defourny, Boris - In: Operations research letters 46 (2018) 1, pp. 51-55
Persistent link: https://www.econbiz.de/10011807908
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Optimal control of a continuous-time W-configuration assemble-to-order system
ElHafsi, Mohsen; Fang, Jianxin; Camus, Herve - In: European journal of operational research : EJOR 267 (2018) 3, pp. 917-932
Persistent link: https://www.econbiz.de/10011812843
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Regular finite fuel stochastic control problems with exit time
Rochlin, Dmitri B.; Mironenko, Georgii - In: Mathematical methods of operations research 84 (2016) 1, pp. 105-127
Persistent link: https://www.econbiz.de/10011673445
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Modelling optimal execution strategies for algorithmic trading
Damian, Virgil - In: Theoretical and applied economics : GAER review 22 (2015) 4, pp. 99-104
Persistent link: https://www.econbiz.de/10011559331
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Optimal trade execution under endogenous pressure to liquidate : theory and numerical solutions
Brunovský, Pavol; Černý, Aleš; Komadel, Ján - In: European journal of operational research : EJOR 264 (2018) 3, pp. 1159-1171
Persistent link: https://www.econbiz.de/10011802354
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Numerical methods in financial and actuarial applications : a stochastic maximum principle approach
Di Giacinto, Marina - In: Journal of mathematical finance 8 (2018) 2, pp. 283-301
Persistent link: https://www.econbiz.de/10011874735