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Solution to the risk-sensitive average cost optimality equation in a class of Markov decision processes with finite state spaceCAVAZOS-CADENA, Rolando.Mathematical methods of operations research (Heidelberg). 2003, Vol 57, Num 2, pp 263-285, issn 1432-2994, 23 p.Article

Explicit gittins indices for a class of superdiffusive processesFILLIGER, Roger; HONGLER, Max-Olivier.Journal of applied probability. 2007, Vol 44, Num 2, pp 554-559, issn 0021-9002, 6 p.Article

RUIN PROBABILITY WITH PARISIAN DELAY FOR A SPECTRALLY NEGATIVE LEVY RISK PROCESSCZARNA, Irmina; PALMOWSKI, Zbigniew.Journal of applied probability. 2011, Vol 48, Num 4, pp 984-1002, issn 0021-9002, 19 p.Article

OPTIMAL CO-ADAPTED COUPLING FOR THE SYMMETRIC RANDOM WALK ON THE HYPERCUBECONNOR, Stephen; JACKA, Saul.Journal of applied probability. 2008, Vol 45, Num 3, pp 703-713, issn 0021-9002, 11 p.Article

On time-inhomogeneous controlled diffusion processes in domainsHONGJIE DONG; KRYLOV, N. V.Annals of probability. 2007, Vol 35, Num 1, pp 206-227, issn 0091-1798, 22 p.Article

Elasticity approach to portfolio optimizationKRAFT, Holger.Mathematical methods of operations research (Heidelberg). 2003, Vol 58, Num 1, pp 159-182, issn 1432-2994, 24 p.Article

A PENALTY METHOD FOR THE NUMERICAL SOLUTION OF HAMILTON-JACOBI-BELLMAN (HJB) EQUATIONS IN FINANCEWITTE, J. H; REISINGER, C.SIAM journal on numerical analysis. 2011, Vol 49, Num 1-2, pp 213-231, issn 0036-1429, 19 p.Article

HOLDER REGULARITY FOR VISCOSITY SOLUTIONS OF FULLY NONLINEAR, LOCAL OR NONLOCAL, HAMILTON-JACOBI EQUATIONS WITH SUPERQUADRATIC GROWTH IN THE GRADIENTCARDALIAGUET, Pierre; RAINER, Catherine.SIAM journal on control and optimization. 2011, Vol 49, Num 2, pp 555-573, issn 0363-0129, 19 p.Article

OPTIMAL MIXED IMPULSE-EQUITY INSURANCE CONTROL PROBLEM WITH REINSURANCEHUI MENG; TAK KUEN SIU.SIAM journal on control and optimization. 2011, Vol 49, Num 1, pp 254-279, issn 0363-0129, 26 p.Article

PENALTY METHOD FOR FINITE HORIZON STOPPING PROBLEMSSTETTNER, L.SIAM journal on control and optimization. 2011, Vol 49, Num 3, pp 1078-1099, issn 0363-0129, 22 p.Article

FINITE HORIZON OPTIMAL INVESTMENT AND CONSUMPTION WITH TRANSACTION COSTSMIN DAI; LISHANG JIANG; PEIFAN LI et al.SIAM journal on control and optimization. 2010, Vol 48, Num 2, pp 1134-1154, issn 0363-0129, 21 p.Article

Switching problem and related system of reflected backward SDEsHAMADENE, Said; JIANFENG ZHANG.Stochastic processes and their applications. 2010, Vol 120, Num 4, pp 403-426, issn 0304-4149, 24 p.Article

UTILITY MAXIMIZATION WITH HABIT FORMATION: DYNAMIC PROGRAMMING AND STOCHASTIC PDEsENGLEZOS, Nikolaos; KARATZAS, Ioannis.SIAM journal on control and optimization. 2010, Vol 48, Num 2, pp 481-520, issn 0363-0129, 40 p.Article

A SINGULAR CONTROL PROBLEM WITH DISCRETIONARY STOPPING FOR GEOMETRIC BROWNIAN MOTIONSMORIMOTO, Hiroaki.SIAM journal on control and optimization. 2010, Vol 48, Num 6, pp 3781-3804, issn 0363-0129, 24 p.Article

DECOMPOSITION OF LARGE-SCALE STOCHASTIC OPTIMAL CONTROL PROBLEMSBARTY, Kengy; CARPENTIER, Pierre; GIRARDEAU, Pierre et al.RAIRO. Recherche opérationnelle. 2010, Vol 44, Num 3, pp 167-183, issn 0399-0559, 17 p.Article

OPTIMAL DIVIDEND POLICIES WITH TRANSACTION COSTS FOR A CLASS OF DIFFUSION PROCESSESLIHUA BAI; PAULSEN, Jostein.SIAM journal on control and optimization. 2010, Vol 48, Num 7-8, pp 4987-5008, issn 0363-0129, 22 p.Article

UNIFORM RECURRENCE PROPERTIES OF CONTROLLED DIFFUSIONS AND APPLICATIONS TO OPTIMAL CONTROLARAPOSTATHIS, Ari; BORKAR, Vivek S.SIAM journal on control and optimization. 2010, Vol 48, Num 7-8, pp 4181-4223, issn 0363-0129, 43 p.Article

Mean-Variance Criteria for Finite Continuous-Time Markov Decision ProcessesXIANPING GUO; XINYUAN SONG.IEEE transactions on automatic control. 2009, Vol 54, Num 9, pp 2151-2157, issn 0018-9286, 7 p.Article

OPTIMAL TRANSPORTATION PROBLEM BY STOCHASTIC OPTIMAL CONTROLMIKAMI, Toshio; THIEULLEN, Michèle.SIAM journal on control and optimization. 2009, Vol 47, Num 3, pp 1127-1139, issn 0363-0129, 13 p.Article

ROBUST H CONTROL OF AN UNCERTAIN SYSTEM VIA A STABLE DECENTRALIZED OUTPUT FEEDBACK CONTROLLERPETERSEN, Ian R.Kybernetika. 2009, Vol 45, Num 1, pp 101-120, issn 0023-5954, 20 p.Article

Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selectionSHAOLIN JI; SHIGE PENG.Stochastic processes and their applications. 2008, Vol 118, Num 6, pp 952-967, issn 0304-4149, 16 p.Article

UNIQUENESS OF CONSTRAINED VISCOSITY SOLUTIONS IN HYBRID CONTROL SYSTEMSMINYI HUANG.SIAM journal on control and optimization. 2008, Vol 46, Num 1, pp 332-355, issn 0363-0129, 24 p.Article

The sufficient conditions of local controllability for linear systems with random parametersMASTERKOV, Yu. V; RODINA, L. I.Nonlinear dynamics and systems theory. 2007, Vol 7, Num 3, pp 303-314, issn 1562-8353, 12 p.Article

MONOTONICITY OF MINIMIZERS IN OPTIMIZATION PROBLEMS WITH APPLICATIONS TO MARKOV CONTROL PROCESSESFLORES-HERNANDEZ, Rosa M; MONTES-DE-OCA, Raúl.Kybernetika. 2007, Vol 43, Num 3, pp 347-368, issn 0023-5954, 22 p.Article

Discounted markov control processes induced by deterministic systemsCRUZ-SUAREZ, Hugo; MONTES-DE-OCA, Raul.Kybernetika. 2006, Vol 42, Num 6, pp 647-664, issn 0023-5954, 18 p.Article

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