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1

Controlled rough SDEs, pathwise stochastic control and dynamic programming principles
Friz, Peter K. ; Lê, Khoa ; Zhang, Huilin

Probability 60L20, 60H10
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2

Pathwise Dynamic Programming
Bender, Christian ; Gärtner, Christian ; Schweizer, Nikolaus
Mathematics of Operations Research, 2018 Aug 01. 43(3), 965-995.

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3

Convex order for path-dependent derivatives: a dynamic programming approach
Pagès, Gilles ; Laboratoire de Probabilités et Modèles Aléatoires (LPMA) ; Université Pierre et Marie Curie - Paris 6 (UPMC)-Université Paris Diderot - Paris 7 (UPD7)-Centre National de la Recherche Scientifique (CNRS)
Séminaire de Probabilités XLVIII. :33-96

pathwise European option... pathwise American option... comparison of option pri... completely monotone func... Lévy processes Laplace transform
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4

Pathwise Dynamic Programming
Christian Bender ; Christian Gärtner ; Nikolaus Schweizer
Mathematics of Operations Research. 43:965-995

confidence bounds stochastic dynamic progr... 0101 mathematics Monte Carlo option pricing 01 natural sciences
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5

Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations
Hinz, Juri ; Tarnopolskaya, Tanya ; Yee, Jeremy
Annals of Operations Research. :1-33

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8

Path-dependent Hamilton-Jacobi-Bellman equation: Uniqueness of Crandall-Lions viscosity solutions
Cosso, Andrea ; Gozzi, Fausto ; Rosestolato, Mauro ; et al.

path-dependent HJB equat... viscosity solutions path-dependent SDEs dynamic programming prin... pathwise derivatives functional Itô calculus
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9

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10

Pathwise Optimization for Optimal Stopping Problems
Desai, Vijay V. ; Farias, Vivek F. ; Moallemi, Ciamac C.
Management Science, 2012 Dec 01. 58(12), 2292-2308.

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11

Path-dependent Hamilton-Jacobi-Bellman equation: Uniqueness of Crandall-Lions viscosity solutions
Cosso, Andrea ; Gozzi, Fausto ; Rosestolato, Mauro ; et al.

path-dependent HJB equat... viscosity solutions path-dependent SDEs dynamic programming prin... pathwise derivatives functional Itô calculus
E-Ressource
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12

Pathwise uniform value in gambling houses and Partially Observable Markov Decision Processes
Venel, Xavier ; Ziliotto, Bruno ; Centre d'économie de la Sorbonne (CES) ; et al.

Dynamic programming Markov decision processe... Partial Observation Uniform value Long-run average payoff [MATH.MATH-OC]Mathematic...
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13

Path-dependent Hamilton-Jacobi-Bellman equation: Uniqueness of Crandall-Lions viscosity solutions
Cosso, Andrea ; Gozzi, Fausto ; Rosestolato, Mauro ; et al.

path-dependent HJB equat... viscosity solutions path-dependent SDEs dynamic programming prin... pathwise derivatives functional Itô calculus
E-Ressource
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14

A model‐free approach to continuous‐time finance.
Chiu, Henry ; Cont, Rama
Mathematical Finance. Apr2023, Vol. 33 Issue 2, p257-273. 17p.

DYNAMIC programming DIFFERENTIAL games MARTINGALES (Mathematics... CALCULUS FUNCTIONALS
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15

Optimal smooth consumption and its trade-offs.
Hornung, Philipp Carsten ; Steffensen, Mogens
Mathematical Methods of Operations Research. Aug2025, Vol. 102 Issue 1, p29-78. 50p.

CONSUMPTION (Economics) DYNAMIC programming PENSION trusts STOCHASTIC analysis MARKET volatility RESOURCE allocation
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16

Optimal control of path-dependent McKean-Vlasov SDEs in infinite dimension
Cosso, Andrea ; Gozzi, Fausto ; Kharroubi, Idris ; et al.

Mathematics Subject Clas... 60K35 49L25 Path-dependent McK... dynamic programming prin... pathwise measure derivat... functional Itô calculus
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18

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19

Efficient Inference for Inverse Reinforcement Learning and Dynamic Discrete Choice Models
van der Laan, Lars ; Bibaut, Aurelien ; Kallus, Nathan

Machine Learning Statistics Theory
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20

rcss: Subgradient and duality approach for dynamic programming
Hinz, Juri ; Yee, Jeremy

Computer Science - Mathe...
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