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Year of publication
Subject
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Kontrolltheorie 1,881 Control theory 1,778 Theorie 565 Theory 565 Stochastischer Prozess 479 Stochastic process 474 Mathematical programming 322 Mathematische Optimierung 322 Portfolio selection 195 Portfolio-Management 195 Dynamische Optimierung 145 Dynamic programming 139 Spieltheorie 82 Game theory 79 Optimal control 75 Kybernetik 72 USA 70 United States 70 Cybernetics 69 Geldpolitik 67 Markov chain 66 Markov-Kette 66 Monetary policy 66 Robust statistics 66 Robustes Verfahren 66 optimal control 64 Option pricing theory 61 Optionspreistheorie 61 Mathematik 55 Mathematics 53 Inventory model 50 Lagerhaltungsmodell 50 Risk 50 control theory 50 Risiko 48 Decision under uncertainty 46 Entscheidung unter Unsicherheit 46 Search theory 44 Suchtheorie 44 stochastic control 42
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Online availability
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Free 513 Undetermined 446
Type of publication
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Article 1,047 Book / Working Paper 901 Journal 14 Other 3
Type of publication (narrower categories)
All
Article in journal 908 Aufsatz in Zeitschrift 908 Graue Literatur 373 Non-commercial literature 373 Working Paper 365 Arbeitspapier 360 Aufsatz im Buch 105 Book section 105 Hochschulschrift 62 Thesis 46 Konferenzschrift 38 Collection of articles of several authors 21 Sammelwerk 21 Aufsatzsammlung 12 Lehrbuch 11 Textbook 9 Conference paper 7 Conference proceedings 7 Dissertation u.a. Prüfungsschriften 7 Festschrift 7 Konferenzbeitrag 7 Bibliografie enthalten 5 Bibliography included 5 Collection of articles written by one author 5 Forschungsbericht 5 Sammlung 5 Case study 4 Fallstudie 4 Systematic review 3 Übersichtsarbeit 3 Article 2 Mehrbändiges Werk 2 Multi-volume publication 2 Bibliografie 1 Congress Report 1 Einführung 1 Enzyklopädie 1 Fallstudiensammlung 1 Fortschrittsbericht 1 Konferenzschrift/Kongressbericht 1
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Language
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English 1,811 Undetermined 96 German 51 Spanish 3 French 2 Hungarian 2 Italian 2
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Author
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Stein, Jerome L. 40 Ferrari, Giorgio 31 Feichtinger, Gustav 30 Boucekkine, Raouf 24 Kort, Peter M. 22 Federico, Salvatore 21 Seierstad, Atle 20 Neck, Reinhard 19 Hudgins, David 18 Crowley, Patrick M. 17 Hartl, Richard F. 17 Frey, Bruno S. 15 Osterloh, Margit 15 Brock, William A. 14 Caulkins, Jonathan P. 14 Kohlmann, Michael 14 Gozzi, Fausto 13 Grass, Dieter 12 Fürnkranz-Prskawetz, Alexia 11 Xepapadeas, Anastasios 11 Zou, Benteng 11 Bensoussan, Alain 10 Camacho, Carmen 10 Fabbri, Giorgio 10 Sethi, Suresh 10 Sethi, Suresh P. 10 Tragler, Gernot 10 Young, Virginia R. 10 Caputo, Michael R. 9 Chahim, Mohammed 9 Kendrick, David A. 9 Savin, Ivan 9 Wrzaczek, Stefan 9 De Angelis, Tiziano 8 Guéant, Olivier 8 Sargent, Thomas J. 8 Semmler, Willi 8 Shevchenko, Pavel V. 8 Tucci, Marco Paolo 8 Wacker, Holger 8
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Institution
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National Bureau of Economic Research 11 Social Systems Research Institute 5 Department of Agricultural and Resource Economics, University of California-Berkeley 4 Center for Research in Economics, Management and the Arts (CREMA) 3 Federal Reserve Bank of San Francisco 3 Institut für Volkswirtschaftslehre, Wirtschaftswissenschaftliche Fakutät 3 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 3 Akademija Nauk SSSR 2 Bonn Graduate School of Economics 2 C.E.P.R. Discussion Papers 2 Conference Optimization Days <1986, Montréal> 2 Institute of Measurement and Control <London> 2 Universitetet i Oslo / Økonomisk institutt 2 Belgian French German Conference on Optimization <9, 1998, Namur> 1 CESifo 1 Carnegie Rochester Conference on Public Policy <1976, 11, Pittsburgh, Pa.> 1 Centre for Actuarial Studies 1 Conference on Economic Policy and Control Theory <1985, Venedig> 1 Control Theory Centre 1 Ekonomiska forskningsinstitutet <Stockholm> 1 Erasmus Research Institute of Management 1 European Association of Agricultural Economists - EAAE 1 Fondazione ENI Enrico Mattei (FEEM) 1 French German Spanish Conference on Optimization <12, 2004, Avignon> 1 Günter Mainz <Firma> 1 Helseøkonomisk Forskningsprogram (HERO), Universitetet i Oslo 1 Institut de Recherche d'Informatique et d'Automatique <Rocquencourt> / Laboratoire de Recherche 1 Institut für Angewandte Mathematik <Hamburg> 1 Institut für Theoretische Volkswirtschaftslehre <Hamburg> 1 Institute of Mathematics and Its Applications 1 International Conference on Dynamic Modelling and Control of National Economies <2, 1977, Wien> 1 International Conference on Optimization and Optimal Control <2001, T'ainan> 1 Internationale Förderung für Automatische Lenkung 1 Joint Workshop on Feedback and Synthesis of Linear and Nonlinear Systems <1981, Bielefeld; Roma> 1 Kingston Conference on Differential Games and Control Theory <3, 1978> 1 Kingston Conference on Differential Games and Control Theory <3., 1978, Kingston, RI> 1 Konjunkturinstitutet <Stockholm> 1 Melbourne Business School 1 Sonderforschungsbereich Staatliche Allokationspolitik im Marktwirtschaftlichen System 1 Springer Fachmedien Wiesbaden 1
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Published in...
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Journal of economic dynamics & control 59 Insurance / Mathematics & economics 41 European journal of operational research : EJOR 38 Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW) 30 Mathematical methods of operations research 25 Mathematical finance : an international journal of mathematics, statistics and financial theory 23 International journal of production research 22 CESifo working papers 21 International journal of theoretical and applied finance 21 Mathematics of operations research 20 Operations research letters 18 Computational economics 17 Finance and stochastics 17 Operations research 16 Risks : open access journal 14 American journal of agricultural economics 13 International journal of production economics 13 Journal of mathematical finance 12 Journal of economic theory 11 NBER working paper series 11 Dynamic games and applications : DGA 10 Lecture notes in economics and mathematical systems : LNEMS 10 Macroeconomic dynamics 10 Mathematics and financial economics 10 SpringerLink / Bücher 10 Working paper 10 Applied mathematical finance 9 Games 9 International journal of productivity and quality management : IJPQM 9 Management science : journal of the Institute for Operations Research and the Management Sciences 9 NBER Working Paper 9 CESifo Working Paper Series 8 CoFE discussion papers 8 Discussion paper / Center for Economic Research, Tilburg University 8 Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz 8 International game theory review 8 Journal of mathematical economics 8 Lecture notes in economics and mathematical systems : operations research, computer science, social science 8 Mathematical control theory and finance 8 Memorandum from Department of Economics, University of Oslo 8
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Source
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ECONIS (ZBW) 1,811 USB Cologne (EcoSocSci) 94 RePEc 47 EconStor 7 BASE 4 ArchiDok 1 Other ZBW resources 1
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Showing 1 - 50 of 1,965
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Convex monotone semigroups and their generators with respect to Г-convergence
Blessing, Jonas; Denk, Robert; Kupper, Michael; Nendel, Max - 2022
We study semigroups of convex monotone operators on spaces of continuous functions and their behaviour with respect to Г-convergence. In contrast to the linear theory, the domain of the generator is, in general, not invariant under the semigroup. To overcome this issue, we consider different...
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Optimal dxecution with multiplicative price impact and incomplete information on the return
Dammann, Felix; Ferrari, Giorgio - 2022
We study an optimal liquidation problem with multiplicative price impact in which the trend of the asset's price is an unobservable Bernoulli random variable. The investor aims at selling over an infinite time-horizon a fixed amount of assets in order to maximize a net expected profit...
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Multi-agent robust optimal investment problem in incomplete market
Kizaki, Keisuke; Saito, Taiga; Takahashi, Akihiko - 2022 - Revised in November 2022
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Dual formulation of the optimal consumption problem with multiplicative habit formation
Kamma, Thijs; Pelsser, Antoon André Jean - 2022
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Learning a functional control for high-frequency finance
Lauriere, Mathieu; Lehalle, Charles-Albert - In: Quantitative finance 22 (2022) 11, pp. 1973-1987
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Optimal vaccination in a SIRS epedemic model
Federico, Salvatore; Ferrari, Giorgio; Torrente, Maria-Laura - 2022
We propose and solve an optimal vaccination problem within a deterministic compartmental model of SIRS type: the immunized population can become susceptible again, e.g. because of a not complete immunization power of the vaccine. A social planner thus aims at reducing the number of susceptible...
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A singular stochastic control approach for optimal pairs trading with proportional transaction costs
Xing, Haipeng - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-23
Optimal trading strategies for pairs trading have been studied by models that try to find either optimal shares of stocks by assuming no transaction costs or optimal timing of trading fixed numbers of shares of stocks with transaction costs. To find optimal strategies that determine optimally...
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Optimal control strategies for the premium policy of an insurance firm with jump diffusion assets and stochastic interest rate
Guerdouh, Dalila; Khelfallah, Nabil; Vives, Josep - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-19
In this paper, we present a stochastic optimal control model to optimize an insurance firm problem in the case where its cash-balance process is assumed to be described by a stochastic differential equation driven by Teugels martingales. Noticing that the insurance firm is able to control its...
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Optimization of stochastic production-inventory model for deteriorating items in a definite cycle using Hamilton-Jacobi-Bellman equation
Hau, Bui Minh; Kim, Hwan-Seong; Long, Le Ngoc Bao; You, … - In: LogForum : elektroniczne czasopismo naukowe z dziedziny … 18 (2022) 4, pp. 397-411
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Optimal coalition splitting with heterogenous strategies
Boucekkine, Raouf; Camacho, Carmen; Ruan, Weihua; Zou, … - 2022
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PDENLPModels.jl : an NLPModel API for optimization problems with PDE-constraints
Migot, Tangi; Orban, Dominique; Siqueira, Abel S. - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013411719
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The dynamics of working hours and wages under implicit contracts
Guerrazzi, Marco; Giribone, Pier Giuseppe - In: Bulletin of economic research 74 (2022) 4, pp. 1075-1094
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Optimal dividends for a two-dimensional risk model with simultaneous ruin of both branches
Strietzel, Philipp Lukas; Heinrich, Henriette Elisabeth - In: Risks : open access journal 10 (2022) 6, pp. 1-23
We consider the optimal dividend problem in the so-called degenerate bivariate risk model under the assumption that the surplus of one branch may become negative. More specific, we solve the stochastic control problem of maximizing discounted dividends until simultaneous ruin of both branches of...
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A stochastic control approach to bid-ask price modelling
Dela Vega, Engel John C.; Elliott, Robert J. - In: International journal of theoretical and applied … 25 (2022) 4/5, pp. 1-30
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A dynamic programming approach to optimal pollution control under uncertain irreversibility : the Poisson case
Boucekkine, Raouf; Ruan, Weihua; Zou, Benteng - 2022
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Optimal Control of an Epidemic through Social Distancing
Kruse, Thomas; Strack, Philipp - 2022
We analyze how to optimally engage in social distancing (SD) in order to minimize the spread of an infectious disease. We identify conditions under which the optimal policy is single-peaked, i.e., first engages in increasingly more social distancing and subsequently decreases its intensity. We...
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Mathematical Modeling of the Gaming Disorder Model with Media Coverage : Optimal Control Approach
kada, driss; Kouidere, Abdelfatah; Balatif, Omar; … - 2022
In this article, we propose a PEARM mathematical model to depict the dynamic of a population that reacts in the spread of the gaming disorder with media coverage. The basic reproduction number and existence of free equilibrium point and endimec equilibrium point are obtained with same...
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A Stochastic Control Approach to Fight COVID-19
Hess, Markus - 2022
In this paper, we present several optimal control approaches which are designed to control and regulate the evolution of infection numbers in the COVID-19 disease. In our setting, the number of infected people at a certain location is modeled by a continuous-time stochastic process which can be...
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Continuous Time Stochastic Optimal Control : Lagrange-Chow Redux
Ewald, Christian-Oliver; Nolan, Charles - 2022
We show how the classical Lagrangian approach to solving constrained optimization problems from standard calculus can be extended to solve continuous time stochastic optimal control problem. Connections to mainstream approaches such as the Hamilton-Jacobi-Bellman equation and the stochastic...
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Delta family approach for the stochastic control problems of utility maximization
Ma, Jingtang; Lu, Zhengyang; Cui, Zhenyu - 2022
In this paper, we propose a new approach for stochastic control problems arising from utility maximization. The main idea is to directly start from the dynamical programming equation and compute the conditional expectation using a novel representation of the conditional density function through...
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Dynamics and Optimal Control of a Spatial Diffusion Hiv/Aids Model with Art and Prep Treatments
Wang, Liping; Din, Anwarud; Wu, Peng - 2022
In this paper, to investigate the synthetic effffect of PrEP (pre-exposure prophylaxis) and ART (antiretrovial therapy) on HIV transmission among MSM (men who have sex with men) in heterogenous environment, an realistic HIV epidemic model with spatial diffusion is established. Here, HIV...
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Distributed Multi-Energy Storage Cooperative Optimization Control Method for Grid Voltage Stability Improving
Zuo, Hao; Teng, Yun; Chen, Zhe - 2022
In order to solve the problem of grid voltage fluctuations in multi-energy systems. This paper proposes a coordinated optimization control method based on battery electric storage, heat storage, and gas storage. Firstly, analyzing the different operating modes of electricity, heat, and gas in...
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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
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Optimal Control of Pdes Using Physics-Informed Neural Networks
Mowlavi, Saviz; Nabi, Saleh - 2022
Physics-informed neural networks (PINNs) have recently become a popular method for solving forward and inverse problems governed by partial differential equations (PDEs). By incorporating the residual of the PDE into the loss function of a neural network-based surrogate model for the unknown...
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Asymptotically Optimal Control of a Stochastic Processing Network with DAG Jobs
Ozkan, Erhun - 2022
We study scheduling in a stochastic processing network where there are multiple job types, multiple homogeneous servers, and jobs are expressed as directed acyclic graphs (DAGs) of tasks. Our main motivation is the scheduling of cloud computing resources where customers express their requests as...
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An optimal strategy to control mining and recycling of non-renewable resources
Bertarelli, Silvia; Lodi, Chiara; Ragni, Stefania - 2022
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Decentralized robust capacity control of job shop systems with reconfigurable machine tools
Liu, Ping - 2019
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Two-sided singular control of an inventory with unknown demand trend
Federico, Salvatore; Ferrari, Giorgio; Rodosthenous, … - 2021
We study the problem of optimally managing an inventory with unknown demand trend. Our formulation leads to a stochastic control problem under partial observation, in which a Brownian motion with non-observable drift can be singularly controlled in both an upward and downward direction. We first...
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Supplementary file for "Sup-inf/inf-sup problem on choice of a probability measure by FBSDE approach"
Saito, Taiga; Takahashi, Akihiko - 2021
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A dynamic theory of spatial externalities
Boucekkine, Raouf; Fabbri, Giorgio; Federico, Salvatore; … - 2021
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Self-respecting worker in the gig economy : a dynamic principal-agent model
Bihary, Zsolt; Csóka, Péter; Kerényi, Péter; … - 2021
We introduce a dynamic principal-agent model to understand the nature of contracts between an employer and an independent gig worker. We model the worker’s self-respect with an endogenous participation constraint; he accepts a job offer if and only if its utility is at least as large as his...
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The Augmented Synthetic Control Method
Ben-Michael, Eli; Feller, Avi; Rothstein, Jesse - National Bureau of Economic Research - 2021
The synthetic control method (SCM) is a popular approach for estimating the impact of a treatment on a single unit in panel data settings. The "synthetic control" is a weighted average of control units that balances the treated unit's pre-treatment outcomes and other covariates as closely as...
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A computational approach to sequential decision optimization in energy storage and trading
Falbo, Paolo; Hinz, Juri; Leelasilapasart, Piyachat; … - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-22
Due to recent technical progress, battery energy storages are becoming a viable option in the power sector. Their optimal operational management focuses on load shift and shaving of price spikes. However, this requires optimally responding to electricity demand, intermittent generation, and...
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A derivative-free approach to optimal control problems with a piecewise constant Mayer cost function
Audet, Charles; Bouchet, Pierre-Yves; Bourdin, Loïc - 2021
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COVID-19 and optimal lockdown strategies : the effect of new and more virulent strains
Caulkins, Jonathan P.; Grass, Dieter; Feichtinger, Gustav; … - 2021
Most nations have responded to the COVID-19 pandemic by locking down parts of their economies to reduce infectious spread. The optimal timing of the beginning and end of the lockdown, together with its intensity, is determined by the tradeoff between economic losses and improved health outcomes....
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Necessary optimality conditions for a class of control problems with state constraint
Korytowski, Adam; Szymkat, Maciej - In: Games 12 (2021) 1/9, pp. 1-21
An elementary approach to a class of optimal control problems with pathwise state constraint is proposed. Based on spike variations of control, it yields simple proofs and constructive necessary conditions, including some new characterizations of optimal control. Two examples are discussed.
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Optimal control and positional controllability in a one-sector economy
Grigorenko, Nikolai; Luk'yanova, Lilia - In: Games 12 (2021) 1/11, pp. 1-12
A model of production funds acquisition, which includes two differential links of the zero order and two series-connected inertial links, is considered in a one-sector economy. Zero-order differential links correspond to the equations of the Ramsey model. These equations contain scalar bounded...
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Multidimensional singular control and related Skorokhod problem : sufficient conditions for the characterization of optimal controls
Dianetti, Jodi; Ferrari, Giorgio - 2021
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost functional over an infinite time-horizon through a process...
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Applications of Markov chain approximation methods to optimal control problems in economics
Phelan, Thomas; Eslami, Keyvan - 2021
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An optimal control problem by a hybrid system of hyperbolic and ordinary differential equations
Arguchintsev, Alexander; Poplevko, Vasilisa - In: Games 12 (2021) 1/23, pp. 1-9
This paper deals with an optimal control problem for a linear system of first-order hyperbolic equations with a function on the right-hand side determined from controlled bilinear ordinary differential equations. These ordinary differential equations are linear with respect to state functions...
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Optimal control theory : introduction to the special issue
Grigorieva, Ellina - In: Games 12 (2021) 1/29, pp. 1-4
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Minimal expected time in drawdown through investment for an insurance diffusion model
Brinker, Leonie Violetta - In: Risks : open access journal 9 (2021) 1/17, pp. 1-18
Consider an insurance company whose surplus is modelled by an arithmetic Brownian motion of not necessarily positive drift. Additionally, the insurer has the possibility to invest in a stock modelled by a geometric Brownian motion independent of the surplus. Our key variable is the (absolute)...
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The dynamics of working hours and wages under implicit contracts
Guerrazzi, Marco; Giribone, Pier Giuseppe - 2021
In this paper, we explore the dynamics of working hours and wages in a model economy where a firm and its workforce are linked to each other by an implicit contract. Specifically, we develop a deterministic and a stochastic framework in which the firm sets its level of labour utilization by...
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Merton investment problems in finance and insurance for the Hawkes-Based models
Sviščuk, Anatolij - In: Risks : open access journal 9 (2021) 6, pp. 1-13
We show how to solve Merton optimal investment stochastic control problem for Hawkesbased models in finance and insurance (Propositions 1 and 2), i.e., for a wealth portfolio X(t) consisting of a bond and a stock price described by general compound Hawkes process (GCHP), and for a capital R(t)...
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Nonlinear filtering of partially observed systems arising in singular stochastic optimal control
Calvia, Alessandro; Ferrari, Giorgio - 2021
This paper deals with a nonlinear filtering problem in which a multi-dimensional signal process is additively affected by a process v whose components have paths of bounded variation. The presence of the process v prevents from directly applying classical results and novel estimates need to be...
Persistent link: https://ebtypo.dmz1.zbw/10012550287
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Optimal dividends under Markov-Modulated Bankruptcy Level
Ferrari, Giorgio; Schuhmann, Patrick; Zhu, Shihao - 2021
This paper proposes and solves an optimal dividend problem in which a two-state regimeswitching environment affects the dynamics of the company's cash surplus and, as a novel feature, also the bankruptcy level. The aim is to maximize the total expected profits from dividends until bankruptcy....
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Wage bargaining as an optimal control problem : a dynamic version of the efficient bargaining model
Guerrazzi, Marco - In: Decisions in economics and finance : a journal of … 44 (2021) 1, pp. 359-374
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Ecosystem shifts : implications for groundwater management
Esteban, Encarna; Calvo, Elena; Albiac, José - In: Environmental and resource economics 79 (2021) 3, pp. 483-510
Persistent link: https://ebtypo.dmz1.zbw/10012588209
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How robust is robust control in discrete time?
Tucci, Marco Paolo - In: Computational economics 58 (2021) 2, pp. 279-309
Persistent link: https://ebtypo.dmz1.zbw/10012614989
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Examination of interest-growth differentials and the risk of sovereign insolvency
Lindgren, Jussi - In: Risks : open access journal 9 (2021) 4, pp. 1-14
The objective of this research was to demonstrate the (nonlinear) risks of sovereign insolvency and explore the applicability of stochastic modeling in public debt management, given a structural economic model of stochastic government debt dynamics. A stochastic optimal control model was...
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