Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems - International Series in Operations Research & Management Science

Hedging Options with Transaction Costs

Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems - International Series in Operations Research & Management Science ◽

10.1007/0-387-33815-2_12 ◽

2006 ◽

pp. 223-247

Author(s):

Wulin Suo

Keyword(s):

Transaction Costs

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Some Bilinear Stochastic Equations with a Fractional Brownian Motion

Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems - International Series in Operations Research & Management Science ◽

10.1007/0-387-33815-2_6 ◽

2006 ◽

pp. 97-108 ◽

Cited By ~ 3

Author(s):

T. E. Duncan

Keyword(s):

Brownian Motion ◽

Fractional Brownian Motion ◽

Stochastic Equations

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Admission Control in the Presence of Priorities: A Sample Path Approach

Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems - International Series in Operations Research & Management Science ◽

10.1007/0-387-33815-2_5 ◽

2006 ◽

pp. 73-95

Author(s):

Feng Chen ◽

Vidyadhar G. Kulkarni

Keyword(s):

Admission Control ◽

Sample Path

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Extended Generators of Markov Processes and Applications

Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems - International Series in Operations Research & Management Science ◽

10.1007/0-387-33815-2_3 ◽

2006 ◽

pp. 35-54

Author(s):

Tomasz R. Bielecki ◽

Ewa Frankiewicz

Keyword(s):

Markov Processes

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TCP-AQM Interaction: Periodic Optimization via Linear Programming

Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems - International Series in Operations Research & Management Science ◽

10.1007/0-387-33815-2_1 ◽

2006 ◽

pp. 1-17 ◽

Cited By ~ 2

Author(s):

K. E. Avrachenkov ◽

L. D. Finlay ◽

V. G. Gaitsgory

Keyword(s):

Linear Programming

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Two Types of Risk

Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems - International Series in Operations Research & Management Science ◽

10.1007/0-387-33815-2_7 ◽

2006 ◽

pp. 109-140

Author(s):

Jerzy A. Filar ◽

Boda Kang

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Optimal Production Policy in a Stochastic Manufacturing System

Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems - International Series in Operations Research & Management Science ◽

10.1007/0-387-33815-2_8 ◽

2006 ◽

pp. 141-157

Author(s):

Yongjiang Guo ◽

Hanqin Zhang

Keyword(s):

Manufacturing System ◽

Optimal Production ◽

Production Policy

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Explicit Solutions of Linear Quadratic Differential Games

Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems - International Series in Operations Research & Management Science ◽

10.1007/0-387-33815-2_2 ◽

2006 ◽

pp. 19-34 ◽

Cited By ~ 1

Author(s):

A. Bensoussan

Keyword(s):

Differential Games ◽

Quadratic Differential ◽

Explicit Solutions ◽

Linear Quadratic ◽

Linear Quadratic Differential Games

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Control of Manufacturing Systems with Delayed Inspection and Limited Capacity

Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems - International Series in Operations Research & Management Science ◽

10.1007/0-387-33815-2_4 ◽

2006 ◽

pp. 55-71

Author(s):

E. K. Boukas

Keyword(s):

Manufacturing Systems ◽

Limited Capacity

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A Regime-Switching Model for European Options

Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems - International Series in Operations Research & Management Science ◽

10.1007/0-387-33815-2_14 ◽

2006 ◽

pp. 281-300 ◽

Cited By ~ 44

Author(s):

David D. Yao ◽

Qing Zhang ◽

Xun Yu Zhou

Keyword(s):

Regime Switching ◽

European Options ◽

Regime Switching Model ◽

Switching Model

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Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems - International Series in Operations Research & Management Science
Latest Publications

TOTAL DOCUMENTS

H-INDEX

Published By Springer US

Hedging Options with Transaction Costs

Some Bilinear Stochastic Equations with a Fractional Brownian Motion

Admission Control in the Presence of Priorities: A Sample Path Approach

Extended Generators of Markov Processes and Applications

TCP-AQM Interaction: Periodic Optimization via Linear Programming

Two Types of Risk

Optimal Production Policy in a Stochastic Manufacturing System

Explicit Solutions of Linear Quadratic Differential Games

Control of Manufacturing Systems with Delayed Inspection and Limited Capacity

A Regime-Switching Model for European Options

Export Citation Format

Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems - International Series in Operations Research & Management ScienceLatest Publications

TOTAL DOCUMENTS

H-INDEX

Published By Springer US

Hedging Options with Transaction Costs

Some Bilinear Stochastic Equations with a Fractional Brownian Motion

Admission Control in the Presence of Priorities: A Sample Path Approach

Extended Generators of Markov Processes and Applications

TCP-AQM Interaction: Periodic Optimization via Linear Programming

Two Types of Risk

Optimal Production Policy in a Stochastic Manufacturing System

Explicit Solutions of Linear Quadratic Differential Games

Control of Manufacturing Systems with Delayed Inspection and Limited Capacity

A Regime-Switching Model for European Options

Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems - International Series in Operations Research & Management Science
Latest Publications