Keywords: اصل برنامه ریزی پویا; 91A15; 35J92; 35B65; 35J60; 49N60; Dynamic programming principle; p-Laplace; Tug-of-war; Tug-of-war with noise with space dependent probabilities; Viscosity solutions;
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Keywords: اصل برنامه ریزی پویا; C61; E44; E47; F32; F34; F42; G11; Capital inflow; Dynamic terms of trade; Financial crisis; Interest rate determination; Dynamic programming principle; Portfolio theory; E-M algorithm;
Optimal stopping with random maturity under nonlinear expectations
Keywords: اصل برنامه ریزی پویا; Discretionary stopping; Random maturity; Controls in weak formulation; Optimal stopping; Nonlinear expectation; Weak stability under pasting; Lipschitz continuous stopping time; Dynamic programming principle; Martingale approach;
Keywords: اصل برنامه ریزی پویا; Non-extensive statistics; Portfolio selection; Value-at-Risk; Utility; Dynamic programming principle
Keywords: اصل برنامه ریزی پویا; Fish school; Upstream migration; Optimal control problem; Dynamic programming principle; Hamilton-Jacobi-Bellman equation;
Keywords: اصل برنامه ریزی پویا; Expected value premium principle; Variance premium principle; Ruin probability; Proportional reinsurance; Excess of loss reinsurance; Dynamic programming principle; Heavy-tailed claims;
Keywords: اصل برنامه ریزی پویا; Dynamic programming principle; HJB equation; Riemannian manifold; Viscosity solution; Pontryagin's maximum principle;
Keywords: اصل برنامه ریزی پویا; Hysteretic structure; Transient response; Bounded control; Seismic excitation; Stochastic averaging; Galerkin procedure; Dynamic programming principle
Keywords: اصل برنامه ریزی پویا; Functional operator; Elasticity approach; Portfolio optimization; Regime switching; Dynamic programming principle
Keywords: اصل برنامه ریزی پویا; Stochastic optimal control; Viscosity solutions; Dynamic programming principle; Nisio semigroup; Existence of optimal controls; Existence under partial observations; Compactness methods; Wide bandwidth noise; Approximations to systems; Nonlinear filtering
Keywords: اصل برنامه ریزی پویا; Control under state constraints; Dynamic programming principle; Linear programming; Hamilton-Jacobi equations;
Keywords: اصل برنامه ریزی پویا; Dividend; Dynamic programming principle; General diffusion; Optimization; Regime-switching; C61; G35; G22; IM13; IE20; IB63;
Linear-quadratic optimal sampled-data control problems: Convergence result and Riccati theory
Keywords: اصل برنامه ریزی پویا; Optimal control; Linear-quadratic problems; Sampled-data control; Digital control; Convergence; Pontryagin maximum principle; Riccati theory; Dynamic programming principle;
Optimal consumption-investment strategy under the Vasicek model: HARA utility and Legendre transform
Keywords: اصل برنامه ریزی پویا; Consumption-investment problem; The Vasicek model; HARA utility; Dynamic programming principle; Legendre transform; Closed-form solution;
BSDES in games, coupled with the value functions. associated nonlocal Bellman-Isaacs equations
Keywords: اصل برنامه ریزی پویا; McKean-Vlasov SDE; BSDE coupled with the lower and the upper value functions; dynamic programming principle; mean-field BSDE; viscosity solution; coupled nonlocal; HJB-Isaacs equation; Isaacs' condition; 34B15; 34B18;
Dynamic programming principle for stochastic recursive optimal control problem driven by a G-Brownian motion
Keywords: اصل برنامه ریزی پویا; 93E20; 60H10; 35K15; G-expectation; Backward stochastic differential equations; Stochastic recursive optimal control; Robust control; Dynamic programming principle;
Tightness and duality of martingale transport on the Skorokhod space
Keywords: اصل برنامه ریزی پویا; 65B05; 60B10; 60G44; 91G20; S-topology; Dynamic programming principle; Robust superhedging;
Dividend optimization under reserve constraints for the Cramér-Lundberg model compounded by force of interest
Keywords: اصل برنامه ریزی پویا; Cramér-Lundberg model; Dynamic programming principle; Hamilton-Jacobi-Bellman equation; Optimal dividend strategy; Solvency constraints;
The optimal control related to Riemannian manifolds and the viscosity solutions to Hamilton–Jacobi–Bellman equations
Keywords: اصل برنامه ریزی پویا; Riemannian manifold; Hamilton–Jacobi–Bellman equation; Backward stochastic differential equations; Dynamic programming principle; Viscosity solution
Saddle points of discrete Markov zero-sum game with stopping
Keywords: اصل برنامه ریزی پویا; Saddle points; Dynamic game; Markov chain approximation; Dynamic programming principle
Asset allocation under stochastic interest rate with regime switching
Keywords: اصل برنامه ریزی پویا; Stochastic interest rate; Regime-switching; Stochastic flows; Dynamic programming principle; HJB equation;
Second order Hamilton–Jacobi–Bellman equations with an unbounded operator
Keywords: اصل برنامه ریزی پویا; 49L25; 93E20Hamilton–Jacobi–Bellman equations; Dynamic programming principle; Optimal stochastic control; Multivalued stochastic differential equations
Stochastic representation for solutions of Isaacs’ type integral–partial differential equations
Keywords: اصل برنامه ریزی پویا; Stochastic differential games; Poisson random measure; Value function; Backward stochastic differential equations; Dynamic programming principle; Integral–partial differential operators; Viscosity solution
Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton–Jacobi–Bellman equations
Keywords: اصل برنامه ریزی پویا; 60H10; 60H05; 65C30Poisson random measure; Value function; Backward stochastic differential equations; Dynamic programming principle; Viscosity solution; Stochastic backward semigroup
Mean-field backward stochastic differential equations and related partial differential equations
Keywords: اصل برنامه ریزی پویا; 60H10; 60H30; 35K65Mean-field models; McKean–Vlasov equation; Backward stochastic differential equations; Comparison theorem; Dynamic programming principle; Viscosity solution
A note on negative dynamic programming for risk-sensitive control
Keywords: اصل برنامه ریزی پویا; Risk-sensitive control; Borel state space; Dynamic programming principle;
The corporate optimal portfolio and consumption choice problem in the real project with borrowing rate higher than deposit rate
Keywords: اصل برنامه ریزی پویا; Consumption/investment optimization; Dynamic programming principle; HJB equations; Stochastic control; Hyperbolic absolute risk aversion