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Optimal control of a queue under a quality-of-service constraint with bounded and unbounded rates
Ebrahimi, Abdolghani; Ghosh, Arka P. - In: Operations research letters 48 (2020) 6, pp. 737-743
Persistent link: https://www.econbiz.de/10012430101
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Robust optimal investment and reinsurance problems with learning
Bäuerle, Nicole; Leimcke, Gregor - In: Scandinavian actuarial journal 2021 (2021) 2, pp. 82-109
Persistent link: https://www.econbiz.de/10012500254
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Time-inconsistent Markovian control problems under model uncertainty with application to the mean-variance portfolio selection
Bielecki, Tomasz R.; Chen, Tao; Cialenco, Igor - In: International journal of theoretical and applied finance 24 (2021) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10012650186
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Optimization of market stochastic dynamics
Pramanik, Paramahansa - In: Operations research forum 1 (2020) 4, pp. 1-17
Persistent link: https://www.econbiz.de/10012306368
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Optimal proportional reinsurance and investment for stochastic factor models
Brachetta, M.; Ceci, C. - In: Insurance / Mathematics & economics 87 (2019), pp. 15-33
Persistent link: https://www.econbiz.de/10012058904
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Infinite horizon stochastic impulse control with delay and random coefficients
Djehiche, Boualem; Hamadène, Said; Hdhiri, Ibtissem; … - In: Mathematics of operations research 47 (2022) 1, pp. 665-689
Persistent link: https://www.econbiz.de/10013364931
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Optimal chance-constrained pension fund management through dynamic stochastic control
Lauria, Davide; Consigli, Giorgio; Maggioni, Francesca - In: OR spectrum : quantitative approaches in management 44 (2022) 3, pp. 967-1007
Persistent link: https://www.econbiz.de/10013440687
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Robust classical-impulse stochastic control problems in an infinite horizon
Pun, Chi Seng - In: Mathematical methods of operations research : ZOR 96 (2022) 2, pp. 291-312
Persistent link: https://www.econbiz.de/10013455036
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Optimal investment and consumption for financial markets with jumps under transaction costs
Egorov, Sergei; Pergamenchtchikov, Serguei - In: Finance and stochastics 28 (2024) 1, pp. 123-159
Persistent link: https://www.econbiz.de/10014447608
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Quadratic optimal control of graphon Q-noise linear systems
Dunyak, Alex; Caines, Peter E. - 2024
Persistent link: https://www.econbiz.de/10015073660