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A finite horizon optimal switching problem with memory and application to controlled SDDEs
Perninge, Magnus - In: Mathematical methods of operations research : ZOR 91 (2020) 3, pp. 465-500
Persistent link: https://www.econbiz.de/10012301615
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OPTCON3 : an active learning control algorithm for nonlinear quadratic stochastic problems
Blueschke-Nikolaeva, V.; Blueschke, D.; Neck, Reinhard - In: Computational economics 56 (2020) 1, pp. 145-162
Persistent link: https://www.econbiz.de/10012272022
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An evolutionary approach to passive learning in optimal control problems
Blueschke, D.; Savin, I.; Blueschke-Nikolaeva, V. - In: Computational economics 56 (2020) 3, pp. 659-673
Persistent link: https://www.econbiz.de/10012390419
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A deep neural network algorithm for semilinear elliptic PDEs with applications in insurance mathematics
Kremsner, Stefan; Steinicke, Alexander; Szölgyenyi, … - In: Risks : open access journal 8 (2020) 4/136, pp. 1-18
example of such a risk measure is the expected discounted future dividend payments. In models which take multiple economic …
Persistent link: https://www.econbiz.de/10012391761
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Approximating the solution of stochastic optimal control problems and the Merton's portfolio selection model
Kafash, Behzad - In: Computational economics 54 (2019) 2, pp. 763-782
Persistent link: https://www.econbiz.de/10012134353
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The two-dimensional tree-grid method
Kossaczký, Igor; Ehrhardt, Matthias; Günther, Michael - In: The journal of computational finance 23 (2019) 2, pp. 29-57
Persistent link: https://www.econbiz.de/10012111259
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A solvable two-dimensional degenerate singular stochastic control problem with nonconvex costs
De Angelis, Tiziano; Ferrari, Giorgio; Moriarty, John - In: Mathematics of operations research 44 (2019) 2, pp. 512-531
Persistent link: https://www.econbiz.de/10012028632
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Brownian control problems for a multiclass M/M/1 queueing problem with model uncertainty
Cohen, Asaf - In: Mathematics of operations research 44 (2019) 2, pp. 739-766
Persistent link: https://www.econbiz.de/10012028708
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Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure
Han, Xia; Liang, Zhibin; Yuen, Kam Chuen - In: Scandinavian actuarial journal (2018) 10, pp. 863-889
Persistent link: https://www.econbiz.de/10011939763
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Dynamic programming approach to principal-agent problems
Cvitanić, Jakša; Possamaï, Dylan; Touzi, Nizar - In: Finance and stochastics 22 (2018) 1, pp. 1-37
Persistent link: https://www.econbiz.de/10011945612