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Found 55 Documents (Results 1–55)

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Robust estimates of certain large deviation probabilities for controlled semi-martingales. (English) Zbl 1325.60027

Chojnowska-Michalik, Anna (ed.) et al., Stochastic analysis. Special volume in honour of Jerzy Zabczyk. Selected papers based on the presentations at the Banach Center conference on stochastic analysis and control, Bȩdlewo, Poland, May 6–10, 2013. Warsaw: Polish Academy of Sciences, Institute of Mathematics (ISBN 978-83-86806-28-7/pbk). Banach Center Publications 105, 159-192 (2015).
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Optimal control problems governed by a second order ordinary differential equation with \(m\)-point boundary condition. (English) Zbl 1319.49001

Kusuoka, Shigeo (ed.) et al., Advances in mathematical economics. Vol. 18. Tokyo: Springer (ISBN 978-4-431-54833-1/hbk; 978-4-431-54834-8/ebook). Advances in Mathematical Economics 18, 1-59 (2014).
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Singular problems for integro-differential equations in dynamic insurance models. (English) Zbl 1314.45007

Pinelas, Sandra (ed.) et al., Differential and difference equations with applications. Contributions from the international conference on differential and difference equations and applications in honour of Ravi P. Agarwal, Ponta Delgada, Portugal, July 4–8, 2011. New York, NY: Springer (ISBN 978-1-4614-7332-9/hbk; 978-1-4614-7333-6/ebook). Springer Proceedings in Mathematics & Statistics 47, 27-44 (2013).
MSC:  45J05 45E10 45A05 65R20 91G60 91B30
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A three-factor convergence model of interest rates. (English) Zbl 1278.91174

Handlovičová, Angela (ed.) et al., Algoritmy 2012. 19th conference on scientific computing, Vysoké Tatry, Podbanské, Slovakia, September 9–14, 2012. Proceedings of contributed papers and posters. Bratislava: Slovak University of Technology, Faculty of Civil Engineering, Department of Mathematics and Descriptive Geometry (ISBN 978-80-227-3742-5/pbk). 95-104 (2012).
MSC:  91G30 35Q91 35K15
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Singular boundary value problem for the integrodifferential equation in an insurance model with stochastic premiums: analysis and numerical solution. (Russian, English) Zbl 1274.65334

Zh. Vychisl. Mat. Mat. Fiz. 52, No. 10, 1812-1846 (2012); translation in Comput. Math. Math. Phys. 52, No. 10, 1384-1416 (2012).
MSC:  65R20 45J05 91B30 91G60
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N.N. Krasovskii’s extremal shift method and problems of boundary control. (English. Russian original) Zbl 1206.49042

Autom. Remote Control 70, No. 4, 577-588 (2009); translation from Avtom. Telemekh. 2009, No. 4, 18-30 (2009).
MSC:  49N70 35K20 91A23
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Numerical solution of Black-Scholes option pricing with variable yield discrete dividend payment. (English) Zbl 1153.91476

Stettner, Łukasz (ed.), Advances in mathematics of finance. Contributed papers of the 2nd general AMaMeF (advanced mathematical methods of finance) conference and Banach Center conference on advances in mathematics of finance, Bȩdlewo, Poland, April 30–May 5, 2007. Warsaw: Polish Academy of Sciences, Institute of Mathematics. Banach Center Publications 83, 37-47 (2008).
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On game problems for second-order evolution equations. (English. Russian original) Zbl 1207.49048

Russ. Math. 51, No. 1, 49-57 (2007); translation from Izv. Vyssh. Uchebn. Zaved., Mat. 2007, No. 1, 54-62 (2007).
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