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检索条件"主题词=dynamic programming principle"
226 条 记 录,以下是221-230 订阅
排序:
Two Different Approaches for Optimal Control Problem of Fully Coupled FBSDEs
Two Different Approaches for Optimal Control Problem of Full...
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第37届中国控制会议
作者: Jingtao Shi School of Mathematics Shandong University
This paper is concerned with the optimal control problem,where the recursive cost functional is defined as one of the solution to a controlled fully coupled forward-backward stochastic differential equation(FBSDE),a... 详细信息
来源: 评论
One Kind of Corporate Optimal Investment Problem in the Real Project
One Kind of Corporate Optimal Investment Problem in the Real...
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第25届中国控制会议
作者: Wu Zhen, Zhang Linyan School of Mathematics and System Sciences, Shandong University, Jinan 250100
<正>One kind of corporate optimal portfolio and consumption choice problem is studied for a investor who can invest his wealth in the bond (bank account) and in a real project which has the production. The bank pa... 详细信息
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A STOCHASTIC CONTROL APPROACH TO BID-ASK PRICE MODELLING
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INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE 2022年 第4-5期25卷 2250021-2250021页
作者: Dela Vega, Engel John C. Elliott, Robert J. Univ South Australia UniSA Business Adelaide SA 5000 Australia Univ Calgary Haskayne Sch Business Calgary AB T2N 1N4 Canada
This paper develops a model for the bid and ask prices of a European-type asset by formulating a stochastic control problem. The state process is governed by a modified geometric Brownian motion whose drift and diffus... 详细信息
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Viscosity Solutions of Hybrid Game Problems with Unbounded Cost Functionals
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INTERNATIONAL GAME THEORY REVIEW 2016年 第1期18卷 1550016-1550016页
作者: Sheetal, Dharmatti Indian Inst Sci Educ & Res Thiruvananthapuram Sch Math Comp Sci & Engn Dept CET Campus Thiruvananthapuram 695016 Kerala India
This paper analyzes zero sum game involving hybrid controls using viscosity solution theory where both players use discrete as well as continuous controls. We study two problems, one in finite horizon and other in inf... 详细信息
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Hedging longevity risk in defined contribution pension schemes
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COMPUTATIONAL MANAGEMENT SCIENCE 2023年 第1期20卷 11-11页
作者: Agarwal, Ankush Ewald, Christian-Oliver Wang, Yongjie Univ Glasgow Adam Smith Business Sch Glasgow City G12 8QQ Scotland Inland Norway Univ Appl Sci Business Sch Lillehammer Norway
Pension schemes all over the world are under increasing pressure to efficiently hedge longevity risk imposed by ageing populations. In this work, we study an optimal investment problem for a defined contribution pensi... 详细信息
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Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency
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MARKET MICROSTRUCTURE AND LIQUIDITY 2017年 第1期3卷
作者: Lehalle, Charles-Albert Mounjid, Othmane Capital Fund Management Paris France Imperial Coll London England Univ Paris 06 Paris France
This paper is split in three parts: first, we use labeled trade data to exhibit how market participants' decisions depend on liquidity imbalance;then, we develop a stochastic control framework where agents monitor... 详细信息
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