SEMIMARTINGALE MODELS OF STOCHASTIC OPTIMAL-CONTROL, WITH APPLICATIONS TO DOUBLE MARTINGALES

被引：5

|

作者：

BOEL, R ^{[1
]}

KOHLMANN, M ^{[1
]}

机构：

[1] UNIV BONN, INST ANGEW MATH, D-5300 BONN 1, FED REP GER

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 1980年 / 18卷 / 05期

关键词：

D O I：

10.1137/0318038

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

引用

收藏

页码：511 / 533

页数：23

相关论文

共 50 条

[21] OPTIMAL-CONTROL IN A LINEAR STOCHASTIC-SYSTEM
DANILCHENKO, AI
SOVIET JOURNAL OF COMPUTER AND SYSTEMS SCIENCES, 1988, 26 (06): : 147 - 152
[22] STOCHASTIC OPTIMAL-CONTROL AND QUANTUM-MECHANICS
PAPIEZ, L
JOURNAL OF MATHEMATICAL PHYSICS, 1982, 23 (06) : 1017 - 1019
[23] NEW STOCHASTIC TIME OPTIMAL-CONTROL PROBLEM
HAUSSMANN, UG
ANDERSON, WJ
BOYARSKY, A
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 1978, 16 (01) : 1 - 15
[24] ADJOINT PROCESSES IN STOCHASTIC OPTIMAL-CONTROL PROBLEMS
YONEYAMA, T
INTERNATIONAL JOURNAL OF CONTROL, 1984, 39 (03) : 423 - 431
[25] APPLICATION OF QUANTUM STOCHASTIC CALCULUS TO OPTIMAL-CONTROL
BOUKAS, A
MATHEMATICAL NOTES, 1993, 53 (5-6) : 489 - 494
[26] STOCHASTIC OPTIMAL-CONTROL FOR AGRICULTURAL AND RESOURCE ECONOMISTS
LARSON, BA
AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS, 1990, 72 (05) : 1365 - 1365
[27] STOCHASTIC OPTIMAL-CONTROL BY PSEUDO-INVERSE
BASU, DR
LAZARIDIS, A
REVIEW OF ECONOMICS AND STATISTICS, 1983, 65 (02) : 347 - 350
[28] MODELS AND OPTIMAL-CONTROL OF ROBOTIC SYSTEMS
CHERNOUSKO, FL
LECTURE NOTES IN CONTROL AND INFORMATION SCIENCES, 1990, 143 : 1 - 22
[29] AN ALGORITHM FOR THE SOLUTION OF STOCHASTIC OPTIMAL-CONTROL PROBLEMS FOR LARGE NONLINEAR ECONOMETRIC-MODELS
HALL, SG
STEPHENSON, MJ
JOURNAL OF APPLIED ECONOMETRICS, 1990, 5 (04) : 393 - 399
[30] Cadlag semimartingale strategies for optimal trade execution in stochastic order book models
Ackermann, Julia
Kruse, Thomas
Urusov, Mikhail
FINANCE AND STOCHASTICS, 2021, 25 (04) : 757 - 810

← 1 2 3 4 5 →