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Mathematical control theory and finance. Proceedings of the workshop, Lisbon, April 10–14, 2007. (English) Zbl 1143.91005
Berlin: Springer (ISBN 978-3-540-69531-8/hbk). xiii, 420 p. (2008).

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The articles of this volume will be reviewed individually.
Indexed articles:
Agrachev, Andrei A.; Chittaro, Francesca C., Extremal flows and infinite horizon optimization, 1-13 [Zbl 1191.49042]
Alobaidi, Ghada; Mallier, Roland, Laplace transforms and the American call option, 15-27 [Zbl 1149.91310]
Barndorff-Nielsen, Ole E.; Schmiegel, Jürgen, Time change, volatility, and turbulence, 29-53 [Zbl 1157.60043]
Bartosiewicz, Zbigniew; Pawłuszewicz, Ewa, External dynamical equivalence of analytic control system, 55-69 [Zbl 1211.93035]
Bordag, Ljudmila A., On option-valuation in illiquid markets: invariant solutions to a nonlinear model, 71-94 [Zbl 1149.91313]
du Toit, Jacques; Peskir, Goran, Predicting the time of the ultimate maximum for Brownian motion with drift, 95-112 [Zbl 1149.60311]
Emms, Paul, A stochastic demand model for optimal pricing of non-life insurance policies, 113-136 [Zbl 1149.91319]
Feinberg, Eugene A., Optimality of deterministic policies for certain stochastic control problems with multiple criteria and constraints, 137-148 [Zbl 1147.93423]
Ferreira, Rui A.; Torres, Delfim F. M., Higher-order calculus of variations on time scales, 149-159 [Zbl 1191.49017]
Gauthier, Jean-Paul; Smach, Fethi; Lemaître, Cedric; Miteran, Johel, Finding invariants of group actions on function spaces, a general methodology from non-abelian harmonic analysis, 161-186 [Zbl 1148.43004]
Gauthier, Jean-Paul; Zakalyukin, Vladimir, Nonholonomic interpolation for kinematic problems, entropy and complexity, 187-210 [Zbl 1211.93089]
Griebsch, Susanne; Kühn, Christoph; Wystup, Uwe, Installment options; a closed-form solution and the limiting case, 211-229 [Zbl 1153.91500]
Guerra, Manuel; Sarychev, Andrey, Existence and Lipschitzian regularity for relaxed minimizers, 231-250 [Zbl 1191.49003]
Kordzakhia, Nino; Novikov, Alexander, Pricing of defaultable securities under stochastic interest, 251-263 [Zbl 1153.91532]
Lyasoff, Andrew, Spline cubatures for expectations of diffusion processes and optimal stopping in higher dimensions (with computational finance in view), 263-291 [Zbl 1152.65403]
Menoncin, Francesco, An approximate solution for optimal portfolio in incomplete markets, 293-310 [Zbl 1149.91316]
Mozyrska, Dorota; Bartosiewicz, Zbigniew, Carleman linearization of linearly observable polynomial systems, 311-323 [Zbl 1211.93027]
Pawłuszewicz, Ewa, Observability of nonlinear control systems on time scales – sufficient conditions, 325-335 [Zbl 1211.93028]
Pogglioni, Laura; Spadini, Marco, Sufficient optimality conditions for a bang-bang trajectory in a Bolza problem, 337-357 [Zbl 1191.49021]
Schmidt, Thorsten, Modelling energy markets with extreme spikes, 359-375 [Zbl 1151.91452]
Shiryaev, Albert N., Generalized Bayesian nonlinear quickest detection problems: on Markov family of sufficient statistics, 377-395 [Zbl 1146.62019]
Sidi Ammi, Moulay Rchid; Torres, Delfim F. M., Necessary optimality condition for a discrete dead oil isotherm optimal control problem, 387-395 [Zbl 1211.49035]
Temnov, Grigory, Managing operational risk: methodology and prospects, 397-417 [Zbl 1152.91606]
MSC:
91-06 Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance
93-06 Proceedings, conferences, collections, etc. pertaining to systems and control theory
00B25 Proceedings of conferences of miscellaneous specific interest
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