Optimal stopping of a sequence of maxima over an unobservable sequence of maxima
K. Szajowski (1984)
Applicationes Mathematicae
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Displaying similar documents to “A lagrangian approach to optimal stopping.”
Optimal stopping of a sequence of maxima over an unobservable sequence of maxima
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K. Szajowski (1982)
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Optimal selection of the maximum of a discountable sequence of independent random variables
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Applicationes Mathematicae
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Optimal stopping of a sequence of maxima between random and fixed barriers
Z. Porosiński (1988)
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Optimal trading strategies with transaction costs paid only for the first stock
Petr Dostál (2006)
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A silent-silent duel with randomly detected opponents
A. Styszyński (1984)
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On the determination of optimal time horizon in a control problem in natural resource economics.
Kumar, Ramesh C., Naqib, Fadle M. (1995)
International Journal of Mathematics and Mathematical Sciences
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Optimal recharge and driving strategies for a battery-powered electric vehicle.
Lee, W.R., Wang, S., Teo, K.L. (1999)
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Discrete time optimal dividend problem with constant premium and exponentially distributed claims
Dariusz Socha (2014)
Applicationes Mathematicae
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An optimal dividend problem is studied consisting in maximisation of expected discounted dividend payments until ruin time. A solution of this problem for constant premium d and exponentially distributed claims is presented. It is shown that an optimal policy is a barrier policy. Moreover, an analytic way to solve this problem is sketched.
The existence of optimal solutions for infinite horizon optimal control problems
Dean A. Carlson (1984)
Atti della Accademia Nazionale dei Lincei. Classe di Scienze Fisiche, Matematiche e Naturali. Rendiconti Lincei. Matematica e Applicazioni
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The existence of optimal solutions for infinite horizon optimal control problems
Dean A. Carlson (1984)
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Differential dynamical systems in Lagrangian optimal control formulation. II. (Systemés dynamiques differéntielles á controle optimal formulation Lagrangienne. II.)
Obadeanu, V., Neamtu, M. (1999)
Novi Sad Journal of Mathematics
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Optimal investment under behavioural criteria - a dual approach
Miklós Rásonyi, José G. Rodríguez-Villarreal (2015)
Banach Center Publications
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We consider a discrete-time, generically incomplete market model and a behavioural investor with power-like utility and distortion functions. The existence of optimal strategies in this setting has been shown in Carassus-Rásonyi (2015) under certain conditions on the parameters of these power functions. In the present paper we prove the existence of optimal strategies under a different set of conditions on the parameters, identical to the ones in Rásonyi-Rodrigues...