咨询与建议

限定检索结果

文献类型

  • 209 篇 期刊文献
  • 14 篇 会议
  • 3 篇 学位论文

馆藏范围

  • 226 篇 电子文献
  • 0 种 纸本馆藏

日期分布

学科分类号

  • 188 篇 理学
    • 180 篇 数学
    • 40 篇 统计学(可授理学、...
    • 9 篇 系统科学
    • 1 篇 物理学
    • 1 篇 地球物理学
    • 1 篇 生物学
  • 79 篇 工学
    • 66 篇 控制科学与工程
    • 9 篇 计算机科学与技术...
    • 7 篇 电气工程
    • 3 篇 信息与通信工程
    • 2 篇 力学(可授工学、理...
    • 1 篇 机械工程
    • 1 篇 仪器科学与技术
    • 1 篇 电子科学与技术(可...
    • 1 篇 建筑学
    • 1 篇 土木工程
    • 1 篇 地质资源与地质工...
    • 1 篇 软件工程
  • 46 篇 管理学
    • 33 篇 管理科学与工程(可...
    • 16 篇 工商管理
  • 27 篇 经济学
    • 20 篇 应用经济学
    • 14 篇 理论经济学
  • 1 篇 农学

主题

  • 226 篇 dynamic programm...
  • 50 篇 viscosity soluti...
  • 24 篇 viscosity soluti...
  • 24 篇 hamilton-jacobi-...
  • 15 篇 stochastic contr...
  • 14 篇 backward stochas...
  • 14 篇 value function
  • 12 篇 maximum principl...
  • 11 篇 stochastic optim...
  • 10 篇 stochastic games
  • 9 篇 hamilton-jacobi-...
  • 8 篇 stochastic diffe...
  • 8 篇 optimal control
  • 7 篇 hjb equation
  • 6 篇 wasserstein spac...
  • 6 篇 stochastic recur...
  • 6 篇 backward stochas...
  • 6 篇 p-laplacian
  • 6 篇 g-expectation
  • 6 篇 optimal stopping

机构

  • 18 篇 shandong univ sc...
  • 9 篇 univ pittsburgh ...
  • 6 篇 univ jyvaskyla d...
  • 6 篇 shandong univ zh...
  • 5 篇 univ michigan de...
  • 5 篇 shandong univ sc...
  • 4 篇 fudan univ sch m...
  • 4 篇 shandong univ sc...
  • 4 篇 school of mathem...
  • 3 篇 univ oxford st j...
  • 3 篇 univ oxford math...
  • 3 篇 indian inst sci ...
  • 3 篇 hong kong polyte...
  • 2 篇 univ hong kong d...
  • 2 篇 univ paris cite
  • 2 篇 univ pittsburgh ...
  • 2 篇 univ minnesota m...
  • 2 篇 univ bologna dip...
  • 2 篇 shandong univ sc...
  • 2 篇 univ bretagne oc...

作者

  • 11 篇 li juan
  • 10 篇 parviainen mikko
  • 9 篇 wu zhen
  • 7 篇 hu mingshang
  • 6 篇 buckdahn rainer
  • 6 篇 ji shaolin
  • 6 篇 shi jingtao
  • 6 篇 bayraktar erhan
  • 5 篇 obloj jan
  • 4 篇 zhang liangquan
  • 4 篇 arroyo angel
  • 4 篇 yao song
  • 4 篇 tan xiaolu
  • 4 篇 rossi julio d.
  • 4 篇 blanc pablo
  • 3 篇 wiesel johannes
  • 3 篇 yoshioka hidekaz...
  • 3 篇 peng shige
  • 3 篇 ramaswamy m
  • 3 篇 luiro hannes

语言

  • 195 篇 英文
  • 31 篇 其他
  • 1 篇 德文
  • 1 篇 法文
  • 1 篇 俄文
检索条件"主题词=Dynamic Programming Principle"
226 条 记 录,以下是161-170 订阅
排序:
Stochastic Optimal Control Problem with Obstacle Constraints in Sublinear Expectation Framework
收藏 引用
JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS 2019年 第2期183卷 422-439页
作者: Li, Hanwu Wang, Falei Shandong Univ Jinan Shandong Peoples R China Bielefeld Univ Bielefeld Germany
In this paper, we consider a stochastic optimal control problem, in which the cost function is defined through a reflected backward stochastic differential equation in sublinear expectation framework. Besides, we stud... 详细信息
来源: 评论
Markov decision processes under model uncertainty
收藏 引用
MATHEMATICAL FINANCE 2023年 第3期33卷 618-665页
作者: Neufeld, Ariel Sester, Julian Sikic, Mario NTU Singapore Div Math Sci Singapore Singapore Natl Univ Singapore Dept Math Singapore Singapore Univ Zurich Dept Banking & Finance Zurich Switzerland NTU Singapore Div Math Sci 21 Nanyang Link Singapore 637371 Singapore
We introduce a general framework for Markov decision problems under model uncertainty in a discrete-time infinite horizon setting. By providing a dynamic programming principle, we obtain a local-to-global paradigm, na... 详细信息
来源: 评论
Optimal consumption-investment strategy under the Vasicek model: HARA utility and Legendre transform
收藏 引用
INSURANCE MATHEMATICS & ECONOMICS 2017年 72卷 215-227页
作者: Chang, Hao Chang, Kai Tianjin Polytech Univ Sch Sci Tianjin 300387 Peoples R China Tianjin Univ Coll Management & Econ Tianjin 300072 Peoples R China Zhejiang Univ Finance & Econ Sch Finance Hangzhou 310018 Zhejiang Peoples R China
This paper studies the optimal consumption-investment strategy with multiple risky assets and stochastic interest rates, in which interest rate is supposed to be driven by the Vasicek model. The objective of the indiv... 详细信息
来源: 评论
OPTIMAL RISK CONTROL UNDER MARKED POINT PROCESSES SHOCKS: A dynamic programming DUALITY APPROACH
收藏 引用
INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE 2013年 第7期16卷 1350036-1350036页
作者: Mnif, Mohamed Univ Tunis El Manar ENIT BP 37Tunis Belvedere Tunis 1002 Tunisia
We study the stochastic control problem of maximizing expected utility from terminal wealth under a nonbankruptcy constraint. The problem of the agent is to derive the optimal insurance strategy which reduces his expo... 详细信息
来源: 评论
Holder estimate for a tug-of-war game with 1 <p <2 from Krylov-Safonov regularity theory
收藏 引用
REVISTA MATEMATICA IBEROAMERICANA 2024年 第3期40卷 1023-1044页
作者: Arroyo, Angel Parviainen, Mikko Univ Alicante Dept Matemat Alicante 03690 Spain Univ Jyvaskyla Dept Math & Stat POB 35 FI-40014 Jyvaskyla Finland
We propose a new version of the tug-of-war game and a corresponding dynamic programming principle related to the p -Laplacian with 1 < p < 2 . For this version, the asymptotic Holder continuity of solutions can ... 详细信息
来源: 评论
dynamic APPROACHES FOR SOME TIME-INCONSISTENT OPTIMIZATION PROBLEMS
收藏 引用
ANNALS OF APPLIED PROBABILITY 2017年 第6期27卷 3435-3477页
作者: Karnam, Chandrasekhar Ma, Jin Zhang, Jianfeng Univ Southern Calif Dept Math Los Angeles CA 90089 USA
In this paper, we investigate possible approaches to study general time-inconsistent optimization problems without assuming the existence of optimal strategy. This leads immediately to the need to refine the concept o... 详细信息
来源: 评论
Impulse control problem with switching technology
收藏 引用
STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES 2012年 第2-3期84卷 437-460页
作者: Amami, Rim Univ Toulouse 3 Inst Math Toulouse F-31062 Toulouse France
We consider an impulse control problem with switching technology in infinite horizon. We suppose that the firm decides at certain time (impulse time) to switch the technology and the firm value (e.g. a recapitalizatio... 详细信息
来源: 评论
Stochastic modeling and control of bioreactors
收藏 引用
IFAC-PapersOnLine 2017年 第1期50卷 12611-12616页
作者: Fontbona, J. Ramírez C., H. Riquelme, V. Silva, F.J. Universidad de Chile Beauchef 851 Casilla 170-3 Santiago 3 Chile Institut de recherche XLIM-DMI UMR-CNRS 7252 Faculté des sciences et techniques Université de Limoges Limoges87060 France
In this work we propose a stochastic model for a sequencing-batch reactor (SBR) and for a chemostat. Both models are described by systems of Stochastic Differential Equations (SDEs), which are obtained as limits of su... 详细信息
来源: 评论
On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration
收藏 引用
MATHEMATICS AND FINANCIAL ECONOMICS 2020年 第3期14卷 433-460页
作者: Backhoff-Veraguas, Julio Tangpi, Ludovic Univ Wien Fak Math Oskar Morgenstern Pl 1 A-1090 Vienna Austria Princeton Univ Dept Operat Res & Financial Engn Sherrerd Hall Princeton NJ 08540 USA
It is well-known from the work of Kupper and Schachermayer that most law-invariant risk measures are not time-consistent, and thus do not admit dynamic representations as backward stochastic differential equations. In... 详细信息
来源: 评论
MAXIMAL OPERATORS FOR THE p-LAPLACIAN FAMILY
收藏 引用
PACIFIC JOURNAL OF MATHEMATICS 2017年 第2期287卷 257-295页
作者: Blanc, Pablo Pinasco, Juan P. Rossi, Julio D. Univ Buenos Aires FCEyN Dept Matemat Ciudad UnivPabellon 1 RA-1428 Buenos Aires DF Argentina
We prove existence and uniqueness of viscosity solutions for the problem max {-Delta(p1)u(x), -Delta(p2)u(x)} = f(x) in a bounded smooth domain Omega subset of R-N with u = g on partial derivative Omega. Here -Delta(p... 详细信息
来源: 评论