دانلود مقالات ISI درباره 93E20 + ترجمه فارسی

Infinite horizon optimal control of forward-backward stochastic differential equations with delay

Keywords: 93EXX; 93E20; 60J75; 60H10; 60H20; 34K50; Infinite horizon; Optimal control; Stochastic delay equation; Lévy processes; Maximum principle; Partial information;

دانلود رایگان متن کامل مقاله ISI 14 صفحه سال انتشار : 2014 سفارش ترجمه

Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps

Keywords: 93E20; 60J60; 47N10; Backward stochastic differential equations; Reflected backward stochastic equations; g-conditional expectation; Jump processes; Optimal stopping; Dynamic risk measures; Game problems;

دانلود رایگان متن کامل مقاله ISI 24 صفحه سال انتشار : 2014 سفارش ترجمه

Optimal dividend problem with a terminal value for spectrally positive Lévy processes

Keywords: 93E20; 60G51; Barrier strategy; Dual model; Optimal dividend strategy; Scale functions; Spectrally positive Lévy process; Stochastic control;

دانلود رایگان متن کامل مقاله ISI 5 صفحه سال انتشار : 2013 سفارش ترجمه

Optimal dividends and ALM under unhedgeable risk

Keywords: G22; G31; G35; 93E20; 62P05; Optimal dividends; ALM; Unhedgeable risk; Stochastic control theory; HJB equation;

دانلود رایگان متن کامل مقاله ISI 9 صفحه سال انتشار : 2013 سفارش ترجمه

Optimal investment strategy for the DC plan with the return of premiums clauses in a mean-variance framework

Keywords: G11; C61; G23; E21; E22; 91G10; 93E20; 91B70; 91B30; DC pension plan; Markovian time inconsistent stochastic control; Mean-Variance stochastic control; Optimal asset allocation; Return of premiums clauses;

دانلود رایگان متن کامل مقاله ISI 23 صفحه سال انتشار : 2013 سفارش ترجمه

An LP approach to dynamic programming principles for stochastic control problems with state constraints

Keywords: 93E20; 49L25Linear programming; Stochastic control under state constraints; Dynamic programming principles

دانلود رایگان متن کامل مقاله ISI 15 صفحه سال انتشار : 2013 سفارش ترجمه

Constructing sublinear expectations on path space

Keywords: 93E20; 60H30; 91B30; 28A05Sublinear expectation; GG-expectation; Random GG-expectation; Time-consistency; Optional sampling; Dynamic programming; Analytic set

دانلود رایگان متن کامل مقاله ISI 22 صفحه سال انتشار : 2013 سفارش ترجمه

BSDEs with jumps, optimization and applications to dynamic risk measures

Keywords: 93E20; 60J60; 47N10Backward stochastic differential equations with jumps; Comparison theorems; Risk measures; Dual representation; Robust optimization

دانلود رایگان متن کامل مقاله ISI 30 صفحه سال انتشار : 2013 سفارش ترجمه

Optimal stopping for partially observed piecewise-deterministic Markov processes

Keywords: 60G40; 60J25; 93E20; 93E25; 93E10; 60K10Optimal stopping; Partial observation; Filtering; Piecewise deterministic Markov processes; Quantization; Numerical method

دانلود رایگان متن کامل مقاله ISI 38 صفحه سال انتشار : 2013 سفارش ترجمه

Minimal cost of a Brownian risk without ruin

Keywords: Regular-impulse control; Diffusion approximation; Quasi-variational inequalities; Capital injection; Reinsurance; 93E20; 91B30; 60J75; IM13; IE50; IM52;

دانلود رایگان متن کامل مقاله ISI 9 صفحه سال انتشار : 2012 سفارش ترجمه

Optimal dividend and equity issuance problem with proportional and fixed transaction costs

Keywords: C61; G22; 91B30; 93E20; Transaction costs; Mixed regular-singular-impulse control; HJB equation; Optimal dividend; Equity issuance;

دانلود رایگان متن کامل مقاله ISI 10 صفحه سال انتشار : 2012 سفارش ترجمه

An optimal stopping problem for fragmentation processes

Keywords: primary; 60J99; 93E20; secondary; 60G51; 60J25; Fragmentation processes; Generalized Ornstein-Uhlenbeck processes; Integrated exponential Lévy process;

دانلود رایگان متن کامل مقاله ISI 16 صفحه سال انتشار : 2012 سفارش ترجمه

On non-trivial barrier solutions of the dividend problem for a diffusion under constant and proportional transaction costs

Keywords: 49N25; 93E20; 91B28; 60J70Optimal dividends; Diffusion process; Quasi-variational inequalities; Lump sum dividend barrier strategy; Two-level lump sum dividend barrier strategy

دانلود رایگان متن کامل مقاله ISI 23 صفحه سال انتشار : 2012 سفارش ترجمه

Large time asymptotic problems for optimal stochastic control with superlinear cost

Keywords: primary; 93E20; secondary; 60J60; 49L20; Stochastic control; Large time behavior; Hamilton-Jacobi-Bellman equation; Ergodic control;

دانلود رایگان متن کامل مقاله ISI 28 صفحه سال انتشار : 2012 سفارش ترجمه

Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process

Keywords: 93E20; 91B30; Stochastic control; Hamilton-Jacobi-Bellman equation; Ornstein-Uhlenbeck process; Compound Poisson process; Brownian motion; Exponential utility; Filtering; Partial observations; Proportional reinsurance; Investment;

دانلود رایگان متن کامل مقاله ISI 9 صفحه سال انتشار : 2011 سفارش ترجمه

Classical and singular stochastic control for the optimal dividend policy when there is regime switching

Keywords: G35; E32; C61; 91B30; 91B70; 93E20; 60H30; IM10; IE20; IE21; IE50; Business cycles; Dividend policy; Stochastic control; Regime switching;

دانلود رایگان متن کامل مقاله ISI 11 صفحه سال انتشار : 2011 سفارش ترجمه

Optimal dividend and investing control of an insurance company with higher solvency constraints

Keywords: primary; 91B30; 91B28; 93E20; secondary; 60H10; 60H30; 60H05; Optimal dividend policy; Optimal return function; Solvency; Stochastic regular-singular control; Proportional reinsurance; Probability of bankruptcy; Stochastic differential equations;

دانلود رایگان متن کامل مقاله ISI 11 صفحه سال انتشار : 2011 سفارش ترجمه

Optimal premium policy of an insurance firm: Full and partial information

Keywords: IM10; IM30; IE10; 60G35; 62P20; 91B30; 93E20; Backward separation technique; Forward-backward stochastic differential equation; Optimal premium policy; Partial information; Stochastic control;

دانلود رایگان متن کامل مقاله ISI 8 صفحه سال انتشار : 2010 سفارش ترجمه

Probabilistic representation and approximation for coupled systems of variational inequalities

Keywords: 93E20; 60H10; 60H30; 35K85; 49L25BSDE with jumps; Variational inequalities; Viscosity solutions; Monte Carlo simulations; Switching problems

دانلود رایگان متن کامل مقاله ISI 9 صفحه سال انتشار : 2010 سفارش ترجمه

De Finetti's optimal dividends problem with an affine penalty function at ruin

Keywords: 60J99; 93E20; 60G51; Insurance risk theory; Optimal dividends; Deficit at ruin; Gerber-Shiu functions; Lévy processes; Stochastic control; Log-convexity;

دانلود رایگان متن کامل مقاله ISI 11 صفحه سال انتشار : 2010 سفارش ترجمه

Linear filter model representations for integrated process control with repeated adjustments and monitoring

Keywords: primary; 93E20; secondary; 62N05; Integrated process control; Repeated adjustment; Engineering process control; Statistical process control; Expected cost per unit time; Controller; Readjustment;

دانلود رایگان متن کامل مقاله ISI 11 صفحه سال انتشار : 2010 سفارش ترجمه

On optimal investment in a reinsurance context with a point process market model

Keywords: G22; G11; 91B30; 93E20; 90C40; 90C39; Reinsurance and investment; Expected utility maximization; Ruin minimization; Value iteration;

دانلود رایگان متن کامل مقاله ISI 12 صفحه سال انتشار : 2010 سفارش ترجمه

Switching problem and related system of reflected backward SDEs

Keywords: 60G40; 93E20; 62P20; 91B99Real options; Starting and stopping problem; Switching problem; Backward SDEs; Reflected BSDEs; Oblique reflection; Snell envelope; Optimal stopping problem

دانلود رایگان متن کامل مقاله ISI 24 صفحه سال انتشار : 2010 سفارش ترجمه

Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management

Keywords: 60J75; 93E20; 60H20Stochastic control; Progressive enlargement of filtrations; Decomposition in the reference filtration; Multiple default times; Risk management

دانلود رایگان متن کامل مقاله ISI 26 صفحه سال انتشار : 2010 سفارش ترجمه

Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation

Keywords: 93E20; 91B30; Proportional reinsurance; Hamilton-Jacobi-Bellman equation; Optimal strategy;

دانلود رایگان متن کامل مقاله ISI 6 صفحه سال انتشار : 2009 سفارش ترجمه

An optimal dividends problem with transaction costs for spectrally negative Lévy processes

Keywords: primary; 60J99; secondary; 93E20; 60G51; Lévy process; Stochastic control; Impulse control; Dividend problem; Scale function;

دانلود رایگان متن کامل مقاله ISI 8 صفحه سال انتشار : 2009 سفارش ترجمه

Multi-stage IT project evaluation: The flexibility value obtained by implementing and resolving Berk, Green and Naik (2004) model

Keywords: 91B28; 93E20; 60J65Valuation; Multi-stage investment; Real option; Optimal control

دانلود رایگان متن کامل مقاله ISI 10 صفحه سال انتشار : 2009 سفارش ترجمه

A PDE approach to regularity of solutions to finite horizon optimal switching problems

Keywords: 60G40; 93E20; 62P20; 91B99Real options; Security design; Backward stochastic differential equation; Default risk; Snell envelope; Stopping time; Stopping and starting; Optimal switching; Viscosity solution of PDEs; Variational inequalities

دانلود رایگان متن کامل مقاله ISI 14 صفحه سال انتشار : 2009 سفارش ترجمه

Impulse control problem on finite horizon with execution delay

Keywords: 93E20; 62L15; 49L20; 49L25Impulse control; Execution delay; Diffusion processes; Dynamic programming; Viscosity solutions; Comparison principle

دانلود رایگان متن کامل مقاله ISI 34 صفحه سال انتشار : 2009 سفارش ترجمه

Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint

Keywords: 93E20; 91B30; Exponential utility; Hamilton-Jacobi-Bellman equation; Optimal strategy; Probability of ruin; Proportional reinsurance;

دانلود رایگان متن کامل مقاله ISI 8 صفحه سال انتشار : 2008 سفارش ترجمه

Stochastic optimal control and algorithm of the trajectory of horizontal wells

Keywords: 93E20; 49L20; 90C30Horizontal well; Stochastic differential equation; Optimal control; Nonlinear programming; Hooke–Jeeves algorithm

دانلود رایگان متن کامل مقاله ISI 12 صفحه سال انتشار : 2008 سفارش ترجمه

Optimal investment and life insurance strategies under minimum and maximum constraints

Keywords: IE30; IE53; IB13; C61; D91; G11; 49L20; 91B28; 93E20; Life insurance; Asset allocation; Optimization;

دانلود رایگان متن کامل مقاله ISI 14 صفحه سال انتشار : 2008 سفارش ترجمه

A singular control model with application to the goodwill problem

Keywords: 93E20; 49J15; 49L20; 60J60; 91B70Singular control; Goodwill problem; Second-order linear ODE’s; Monotone follower problem

دانلود رایگان متن کامل مقاله ISI 27 صفحه سال انتشار : 2008 سفارش ترجمه

Discretisation of stochastic control problems for continuous time dynamics with delay

Keywords: 93E20; 34K50; 60H35Stochastic delay differential equations; Stochastic optimal control; Finite-difference approximation

دانلود رایگان متن کامل مقاله ISI 13 صفحه سال انتشار : 2007 سفارش ترجمه

Technical analysis compared to mathematical models based methods under parameters mis-specification

Keywords: 60G35; 93E20; 91B28; 91B26; 91B70; G11; G14; C15; C65; Stochastic models; Model specification; Portfolio allocation; Chartist;

دانلود رایگان متن کامل مقاله ISI 23 صفحه سال انتشار : 2007 سفارش ترجمه

Minimizing the probability of lifetime ruin under borrowing constraints

Keywords: primary; 93E20; secondary; 49J05; Self-annuitization; Optimal investment; Stochastic optimal control; Probability of ruin; Borrowing constraints; Lending rate; Borrowing rate;

دانلود رایگان متن کامل مقاله ISI 26 صفحه سال انتشار : 2007 سفارش ترجمه

An analytic approach to purely nonlocal Bellman equations arising in models of stochastic control

Keywords: 35J60; 47G20; 60J75; 93E20; Bellman equation; Fully nonlinear equation; Integro-differential operator; Markov jump process; Stochastic control;

دانلود رایگان متن کامل مقاله ISI 28 صفحه سال انتشار : 2007 سفارش ترجمه

Verification theorems for stochastic optimal control problems via a time dependent Fukushima–Dirichlet decomposition

Keywords: primary; 35R15; 49L10; 60H05; 93B52; 93E20; secondary; 35J60; 47D03; 47D07; 49L25; 60J35; 93B06; 93B50Hamilton–Jacobi–Bellman (HJB) equations; Stochastic calculus via regularization; Fukushima–Dirichlet decomposition; Stochastic optimal control; Verificat

دانلود رایگان متن کامل مقاله ISI 33 صفحه سال انتشار : 2006 سفارش ترجمه

Controlled risk processes in discrete time: Lower and upper approximations to the optimal probability of ruin

Keywords: C61; IM13; IB70; 93E20; 91B30; Ruin; Control; Lundberg inequality; Bellman operator;

دانلود رایگان متن کامل مقاله ISI 8 صفحه سال انتشار : 2005 سفارش ترجمه

On an infinite dimensional perturbed Riccati differential equation arising in stochastic control

Keywords: 34A12; 93E20; 49N10; 60J27; 60J75; Riccati differential equation; Infinite dimension; Banach space; Markov jump linear system; Stochastic control;

دانلود رایگان متن کامل مقاله ISI 12 صفحه سال انتشار : 2005 سفارش ترجمه

Stochastic control and compatible subsets of constraints

Keywords: 93E03; 64H20; 34F05; 49L25; 93E20; Stochastic control with constraints; Stochastic viability; Optimal control;

دانلود رایگان متن کامل مقاله ISI 17 صفحه سال انتشار : 2005 سفارش ترجمه

On the boundary ergodic problem for fully nonlinear equations in bounded domains with general nonlinear Neumann boundary conditions

Keywords: 35B05; 35J25; 49L25; 93E20;

دانلود رایگان متن کامل مقاله ISI 21 صفحه سال انتشار : 2005 سفارش ترجمه

Finite utility on financial markets with asymmetric information and structure properties of the price dynamics

Keywords: primary; 60G48; 60H05; 91B28; secondary; 93E20; 94A17; 60H30; Insider trading; Enlargement of filtration; Free lunch with vanishing risk; (NFLVR); Arbitrage; Finite expected utility; Semimartingale; Stochastic integrator; Information drift;

دانلود رایگان متن کامل مقاله ISI 25 صفحه سال انتشار : 2005 سفارش ترجمه

Optimal partially reversible investment with entry decision and general production function

Keywords: 93E20; 60G40; 91B28; Singular stochastic control; Optimal stopping; Viscosity solutions; Skorohod problem; Reversible investment; Production;

دانلود رایگان متن کامل مقاله ISI 32 صفحه سال انتشار : 2005 سفارش ترجمه