Finite-Dimensional Representations for Controlled Diffusions with Delay
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Control and Optimization
Link
http://link.springer.com/content/pdf/10.1007/s00245-014-9256-2.pdf
Reference34 articles.
1. Barndorff-Nielsen, O., Benth, F., Veraart, A.: Modelling energy spot prices by Lévy semistationary processes. CREATES Research Paper (2010)
2. Bauer, H., Rieder, U.: Stochastic control problems with delay. Math. Methods Oper. Res. 62, 411–427 (2005)
3. Bensoussan, A., Da Prato, G., Delfour, M.C., Mitter, S.K.: Representation and control of infinite dimensional systems. Systems & Control: Foundations & Applications, 2nd edn, xxviii+575 pp. Birkhäuser Boston, Inc., Boston, MA (2007)
4. Bernhart, M., Tankov, P., Warin, X.: A finite dimensional approximation for pricing moving average options. SIAM J. Financ. Math. 2, 989–1013 (2011)
5. Hallulli, V.B., Vargiolu, T.: Robustness of the Hobson-Rogers model with respect to the offset function. Seminar on Stochastic Analysis, Random Fields and Applications V, pp. 469–492, Progr. Probab., 59, Birkhäuser, Basel (2008)
Cited by 11 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献
1. Representation of stochastic optimal control problems with delay in the control variable;Decisions in Economics and Finance;2024-06-25
2. Stochastic optimal control problems with delays in the state and in the control via viscosity solutions and applications to optimal advertising and optimal investment problems;Decisions in Economics and Finance;2024-06-07
3. Optimal Control of Stochastic Delay Differential Equations and Applications to Path-Dependent Financial and Economic Models;SIAM Journal on Control and Optimization;2024-05-20
4. Deep-Control of Memory via Stochastic Optimal Control and Deep Learning;Springer Proceedings in Mathematics & Statistics;2023-11-15
5. Moving average options: Machine learning and Gauss-Hermite quadrature for a double non-Markovian problem;European Journal of Operational Research;2022-12
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3