Stochastic Analysis, Control, Optimization and Applications
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Published By Birkhäuser Boston

9781461272816, 9781461217848

Latest Documents Most Cited Documents Contributed Authors Related Sources Related Keywords

Pricing Models with Transaction Fees

Stochastic Analysis, Control, Optimization and Applications ◽

10.1007/978-1-4612-1784-8_34 ◽

1999 ◽

pp. 567-584

Author(s):

James E. Hodder ◽

Thaleia Zariphopoulou

Keyword(s):

Pricing Models ◽

Transaction Fees

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Hierarchical Production Controls for a Stochastic Manufacturing System with Long-Run Average Cost: Asymptotic Optimality

Stochastic Analysis, Control, Optimization and Applications ◽

10.1007/978-1-4612-1784-8_37 ◽

1999 ◽

pp. 621-637

Author(s):

Suresh P. Sethi ◽

Hanqin Zhang

Keyword(s):

Average Cost ◽

Manufacturing System ◽

Asymptotic Optimality ◽

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Optimal Portfolio Management with Partial Observations and Power Utility Function

Stochastic Analysis, Control, Optimization and Applications ◽

10.1007/978-1-4612-1784-8_36 ◽

1999 ◽

pp. 605-619 ◽

Author(s):

Raymond Rishel

Keyword(s):

Utility Function ◽

Portfolio Management ◽

Optimal Portfolio ◽

Power Utility ◽

Partial Observations

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Monte Carlo Estimation of Diffusion Distributions at Inter-sampling Times

Stochastic Analysis, Control, Optimization and Applications ◽

10.1007/978-1-4612-1784-8_30 ◽

1999 ◽

pp. 505-520

Author(s):

C. J. Wypasek ◽

J. V. Butera ◽

B. G. Fitzpatrick

Keyword(s):

Monte Carlo ◽

Monte Carlo Estimation ◽

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Estimation of Probability Distributions for Individual Parameters Using Aggregate Population Data

Stochastic Analysis, Control, Optimization and Applications ◽

10.1007/978-1-4612-1784-8_21 ◽

1999 ◽

pp. 353-371 ◽

Author(s):

H. T. Banks ◽

B. G. Fitzpatrick ◽

Laura K. Potter ◽

Yue Zhang

Keyword(s):

Probability Distributions ◽

Population Data ◽

Aggregate Population

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On the Solutions of the Equation Arising from the Singular Limit of Some Eigen Problems

Stochastic Analysis, Control, Optimization and Applications ◽

10.1007/978-1-4612-1784-8_8 ◽

1999 ◽

pp. 135-150 ◽

Author(s):

Shuenn-Jyi Sheu ◽

Alexander D. Wentzell

Keyword(s):

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Singular Limits of Bellman Equations of Ergodic Type Related to Risk-Sensitive Control

Stochastic Analysis, Control, Optimization and Applications ◽

10.1007/978-1-4612-1784-8_6 ◽

1999 ◽

pp. 95-114

Author(s):

Hideo Nagai

Keyword(s):

Bellman Equations ◽

Singular Limits ◽

Risk Sensitive ◽

Risk Sensitive Control

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Option Pricing in a Market with Frictions

Stochastic Analysis, Control, Optimization and Applications ◽

10.1007/978-1-4612-1784-8_31 ◽

1999 ◽

pp. 521-540 ◽

Author(s):

Alain Bensoussan ◽

Hugues Julien

Keyword(s):

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Robustness of Zakai’s Equation via Feynman-Kac Representations

Stochastic Analysis, Control, Optimization and Applications ◽

10.1007/978-1-4612-1784-8_20 ◽

1999 ◽

pp. 339-352 ◽

Author(s):

Rami Atar ◽

Frederi Viens ◽

Ofer Zeitouni

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An Approximation Scheme for Evolutive Hamilton-Jacobi Equations

Stochastic Analysis, Control, Optimization and Applications ◽

10.1007/978-1-4612-1784-8_17 ◽

1999 ◽

pp. 289-303 ◽

Author(s):

Maurizio Falcone ◽

Tiziana Giorgi

Keyword(s):

Approximation Scheme ◽

Jacobi Equations

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