Dynamic programming for semi-Markov modulated SDEs-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Dynamic programming for semi-Markov modulated SDEs

Published:2020-11-03 Issue: Volume: Page:1-28
ISSN:0233-1934
Container-title:Optimization
language:en
Short-container-title:Optimization

Author:

Azevedo N.¹^ORCID,Pinheiro D.²³^ORCID,Pinheiro S.⁴

Affiliation:

1. Banco de Portugal & NIPE, Universidade do Minho, Braga, Portugal

2. Dept. of Mathematics, Brooklyn College of The City University of New York, New York, NY, USA

3. Dept. of Mathematics, Graduate Center of the City University of New York, New York, NY, USA

4. Dept. of Mathematics and Computer Science, Queensborough Community College of The City University of New York, New York, NY, USA

Funder

CUNY

City University of New York

Research Foundation of The City University of New York

Publisher

Informa UK Limited

Subject

Applied Mathematics,Management Science and Operations Research,Control and Optimization

Link

https://www.tandfonline.com/doi/pdf/10.1080/02331934.2020.1839072

Reference39 articles.

1. On the Theory of Dynamic Programming

2. Bellman R. An introduction to the theory of dynamic programming. 1953. (Rand corporation report; R-245).

3. DYNAMIC PROGRAMMING AND A NEW FORMALISM IN THE CALCULUS OF VARIATIONS

4. Dynamic programming and stochastic control processes

Cited by 6 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. A Boundary Control Problem for Stochastic 2D-Navier–Stokes Equations;Journal of Optimization Theory and Applications;2024-04-24

2. A closed-form pricing formula for European options under a multi-factor nonlinear stochastic volatility model with regime-switching;Japan Journal of Industrial and Applied Mathematics;2023-12-26

3. Optimal consumption, investment and life insurance selection under robust utilities;International Journal of Financial Engineering;2023-07-08

4. A new nonlinear stochastic volatility model with regime switching stochastic mean reversion and its applications to option pricing;Expert Systems with Applications;2023-02

5. Optimal consumption, investment and life-insurance purchase under a stochastically fluctuating economy;Optimization;2022-08-04

同舟云学术

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