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Found 442 Documents (Results 1–100)

A variational characterization of Langevin-Smoluchowski diffusions. (English) Zbl 1504.93398

Yin, George (ed.) et al., Stochastic analysis, filtering, and stochastic optimization. A commemorative volume to honor Mark H. A. Davis’s contributions. Cham: Springer. 239-265 (2022).
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Controllable Markov jump processes. I: Optimum filtering based on complex observations. (English. Russian original) Zbl 1420.93033

J. Comput. Syst. Sci. Int. 57, No. 6, 890-906 (2018); translation from Izv. Ross. Akad. Nauk, Teor. Sist. Upr. 2018, No. 6, 64-83 (2018).
MSC:  93E11 93C15 60G44
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Continuous-time portfolio optimization under partial information and convex constraints: deriving explicit results. (English) Zbl 1378.91006

Kaiserslautern: TU Kaiserslautern (Diss.). vi, 193 p. (2017).
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Necessary and sufficient conditions of optimal control for infinite dimensional SDEs. (Necessary and sufficient conditions of optimalcontrol for infinite dimensional SDEs.) (English) Zbl 1403.93192

Eddahbi, M’hamed (ed.) et al., Statistical methods and applications in insurance and finance. CIMPA school, Marrakech and Kelaat M’gouna, Morocco, April 8–20, 2013. Cham: Springer (ISBN 978-3-319-30416-8/hbk; 978-3-319-30417-5/ebook). Springer Proceedings in Mathematics & Statistics 158, 149-171 (2016).
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