Stochastic control theory and operational research
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References listed on IDEAS
- Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-887, September.
- Constantinides, George M, 1978. "Market Risk Adjustment in Project Valuation," Journal of Finance, American Finance Association, vol. 33(2), pages 603-616, May.
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- Blueschke-Nikolaeva, V. & Blueschke, D. & Neck, R., 2012.
"Optimal control of nonlinear dynamic econometric models: An algorithm and an application,"
Computational Statistics & Data Analysis,
Elsevier, vol. 56(11), pages 3230-3240.
- Viktoria Blüschke-Nikolaeva & Dmitri Blüschke & Reinhard Neck, 2010. "Optimal Control of Nonlinear Dynamic Econometric Models: An Algorithm and an Application," Working Papers 032, COMISEF.
- Blueschke, D. & Blueschke-Nikolaeva, V. & Savin, I., 2013.
"New insights into optimal control of nonlinear dynamic econometric models: Application of a heuristic approach,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 37(4), pages 821-837.
- D. Blueschke & V. Blueschke-Nikolaeva & Ivan Savin, 2012. "New Insights Into Optimal Control of Nonlinear Dynamic Econometric Models: Application of a Heuristic Approach," Jena Economic Research Papers 2012-008, Friedrich-Schiller-University Jena.
- Fruchter, Gila E., 2001. "A dual control problem and application to marketing," European Journal of Operational Research, Elsevier, vol. 130(1), pages 99-110, April.
- Ivan Savin & Dmitri Blueschke, 2013. "Solving nonlinear stochastic optimal control problems using evolutionary heuristic optimization," Jena Economic Research Papers 2013-051, Friedrich-Schiller-University Jena.
- Ivan Savin & Dmitri Blueschke, 2016. "Lost in Translation: Explicitly Solving Nonlinear Stochastic Optimal Control Problems Using the Median Objective Value," Computational Economics, Springer;Society for Computational Economics, vol. 48(2), pages 317-338, August.
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