Infinite horizon discrete time control problems for bounded processes.
Blot, Joël, Hayek, Naïla (2008)
Advances in Difference Equations [electronic only]
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Blot, Joël, Hayek, Naïla (2008)
Advances in Difference Equations [electronic only]
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Naoyuki Ishimura, Yuji Mita (2009)
Kybernetika
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We deal with the optimal portfolio problem in discrete-time setting. Employing the discrete Itô formula, which is developed by Fujita, we establish the discrete Hamilton–Jacobi–Bellman (d-HJB) equation for the value function. Simple examples of the d-HJB equation are also discussed.
Menshikov, Mikhail, Volkov, Stanislav (2008)
Electronic Journal of Probability [electronic only]
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Pierre-Louis Lions, Jean-Michel Lasry (2007)
Annales de l'I.H.P. Analyse non linéaire
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Josef Štěpán, Jakub Staněk (2009)
Kybernetika
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A two dimensional stochastic differential equation is suggested as a stochastic model for the Kermack–McKendrick epidemics. Its strong (weak) existence and uniqueness and absorption properties are investigated. The examples presented in Section 5 are meant to illustrate possible different asymptotics of a solution to the equation.
Shigeyoshi Ogawa, Monique Pontier (2007)
ESAIM: Probability and Statistics
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We consider an extension of the Kyle and Back's model [Back, (1992) 387–409; Kyle, (1985) 1315–1335], meaning a model for the market with a continuous time risky asset and asymmetrical information. There are three financial agents: the market maker, an insider trader (who knows a random variable which will be revealed at final time) and a non informed agent. Here we assume that the non informed agent is strategic, namely he/she uses a utility function...
Chaumont, Loïc, Doney, Ronald Arthur (2008)
Electronic Journal of Probability [electronic only]
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