173 results in 93Exx
On the policy improvement algorithm for ergodic risk-sensitive control
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- Proceedings of the Royal Society of Edinburgh. Section A: Mathematics / Volume 151 / Issue 4 / August 2021
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- 02 September 2020, pp. 1305-1330
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- August 2021
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Optimal stopping for measure-valued piecewise deterministic Markov processes
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- Journal of Applied Probability / Volume 57 / Issue 2 / June 2020
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- 16 July 2020, pp. 497-512
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- June 2020
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A renewal theory approach to two-state switching problems with infinite values
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- Journal of Applied Probability / Volume 57 / Issue 1 / March 2020
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- 04 May 2020, pp. 1-18
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- March 2020
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Optimality of refraction strategies for a constrained dividend problem
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- Advances in Applied Probability / Volume 51 / Issue 3 / September 2019
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- 03 September 2019, pp. 633-666
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- September 2019
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Optimal loss-carry-forward taxation for Lévy risk processes stopped at general draw-down time
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- Advances in Applied Probability / Volume 51 / Issue 3 / September 2019
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- 03 September 2019, pp. 865-897
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- September 2019
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Complete expected improvement converges to an optimal budget allocation
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- Advances in Applied Probability / Volume 51 / Issue 1 / March 2019
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- 22 July 2019, pp. 209-235
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- March 2019
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On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models
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- Journal of Applied Probability / Volume 55 / Issue 4 / December 2018
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- 16 January 2019, pp. 1272-1286
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- December 2018
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A weak convergence approach to inventory control using a long-term average criterion
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- Advances in Applied Probability / Volume 50 / Issue 4 / December 2018
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- 29 November 2018, pp. 1032-1074
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- December 2018
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Risk-sensitive semi-Markov decision processes with general utilities and multiple criteria
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- Advances in Applied Probability / Volume 50 / Issue 3 / September 2018
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- 16 November 2018, pp. 783-804
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- September 2018
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Optimal consumption of multiple goods in incomplete markets
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- Journal of Applied Probability / Volume 55 / Issue 3 / September 2018
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- 16 November 2018, pp. 810-822
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- September 2018
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On an optimal extraction problem with regime switching
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- Advances in Applied Probability / Volume 50 / Issue 3 / September 2018
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- 16 November 2018, pp. 671-705
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- September 2018
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Stochastic nonzero-sum games: a new connection between singular control and optimal stopping
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- Advances in Applied Probability / Volume 50 / Issue 2 / June 2018
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- 26 July 2018, pp. 347-372
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- June 2018
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General drawdown-based de Finetti optimization for spectrally negative Lévy risk processes
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- Journal of Applied Probability / Volume 55 / Issue 2 / June 2018
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- 26 July 2018, pp. 513-542
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- June 2018
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An optimal consumption and investment problem with partial information
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- Advances in Applied Probability / Volume 50 / Issue 1 / March 2018
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- 20 March 2018, pp. 131-153
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- March 2018
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Nash equilibria for nonzero-sum ergodic stochastic differential games
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- Journal of Applied Probability / Volume 54 / Issue 4 / December 2017
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- 30 November 2017, pp. 977-994
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- December 2017
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Optimal portfolio selection under vanishing fixed transaction costs
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- Advances in Applied Probability / Volume 49 / Issue 4 / December 2017
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- 17 November 2017, pp. 1116-1143
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- December 2017
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Conjugate duality in stochastic controls with delay
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- Advances in Applied Probability / Volume 49 / Issue 4 / December 2017
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- 17 November 2017, pp. 1011-1036
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- December 2017
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Optimal investment with intermediate consumption under no unbounded profit with bounded risk
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- Journal of Applied Probability / Volume 54 / Issue 3 / September 2017
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- 15 September 2017, pp. 710-719
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- September 2017
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Optimal dividend strategies for two collaborating insurance companies
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- Advances in Applied Probability / Volume 49 / Issue 2 / June 2017
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- 26 June 2017, pp. 515-548
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- June 2017
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A continuity question of Dubins and Savage
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- Journal of Applied Probability / Volume 54 / Issue 2 / June 2017
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- 22 June 2017, pp. 462-473
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- June 2017
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