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Henry-Labordère, Pierre - In: International journal of theoretical and applied finance 16 (2013) 8, pp. 1-27

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Numerical methods for optimization-based model estimation and inference

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A computational method for stochastic impulse control problems

Feng, Haolin; Muthuraman, Kumar - In: Mathematics of operations research 35 (2010) 4, pp. 830-850

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A numerical method for solving stochastic optimal control problems with linear control

Chavanasporn, Walailuck; Ewald, Christian-Oliver - In: Computational economics 39 (2012) 4, pp. 429-446

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Solvability and numerical simulation of BSDEs related to BSPDEs with applications to utility maximization

Imkeller, Peter; Réveillac, Anthony; Zhang, Jianing - In: International journal of theoretical and applied finance 14 (2011) 5, pp. 635-667

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Mathematical modeling and numerical methods in finance : special volume

Bensoussan, Alain (contributor); … - 2009

Persistent link: https://www.econbiz.de/10003788950

Numerical solution of optimal control problems with constant control delays

Brandt-Pollmann, Ulrich; Winkler, Ralph; Sager, Sebastian; … - 2006

We investigate a class of optimal control problems that exhibit constant exogenously given delays in the control in the equation of motion of the differential states. Therefore, we formulate an exemplary optimal control problem with one stock and one control variable and review some analytic...

Persistent link: https://www.econbiz.de/10003459203

Numerical solution of optimal control problems with constant control delays

Brandt-Pollmann, Ulrich; Winkler, Ralph; Sager, Sebastian; … - In: Computational economics 31 (2008) 2, pp. 181-206

Persistent link: https://www.econbiz.de/10003686033

Numerical solutions of certain nonlinear models in European options on a distributed computing environment

Lai, Choi-Hong - In: Nonlinear models in mathematical finance : new research …, (pp. 303-318). 2008

Persistent link: https://www.econbiz.de/10011954480

A non-stationary model of dividend distribution in a stochastic interest-rate setting

Barth, Andrea; Moreno-Bromberg, Santiago; Reichmann, Oleg - In: Computational economics 47 (2016) 3, pp. 447-472

Persistent link: https://www.econbiz.de/10011712413