Kizaki, Keisuke; Saito, Taiga; Takahashi, Akihiko Equilibrium multi-agent model with heterogeneous views on fundamental risks. (English) Zbl 07803883 Automatica 160, Article ID 111415, 13 p. (2024). MSC: 93A16 93E20 PDFBibTeX XMLCite \textit{K. Kizaki} et al., Automatica 160, Article ID 111415, 13 p. (2024; Zbl 07803883) Full Text: DOI
Calafiore, Giuseppe C.; Fracastoro, Giulia; Proskurnikov, Anton V. Clearing payments in dynamic financial networks. (English) Zbl 07766511 Automatica 158, Article ID 111299, 13 p. (2023). MSC: 91G45 PDFBibTeX XMLCite \textit{G. C. Calafiore} et al., Automatica 158, Article ID 111299, 13 p. (2023; Zbl 07766511) Full Text: DOI arXiv
Hawkins, Kelsey P.; Pakniyat, Ali; Tsiotras, Panagiotis Value function estimators for Feynman-Kac forward-backward SDEs in stochastic optimal control. (English) Zbl 07766501 Automatica 158, Article ID 111281, 10 p. (2023). MSC: 93E20 93E10 60H30 PDFBibTeX XMLCite \textit{K. P. Hawkins} et al., Automatica 158, Article ID 111281, 10 p. (2023; Zbl 07766501) Full Text: DOI arXiv
Hsieh, Chung-Han On asymptotic log-optimal portfolio optimization. (English) Zbl 1520.91368 Automatica 151, Article ID 110901, 11 p. (2023). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{C.-H. Hsieh}, Automatica 151, Article ID 110901, 11 p. (2023; Zbl 1520.91368) Full Text: DOI
Chen, Zengjing; Feng, Xinwei; Liu, Shuhui; Zhang, Weihai Bang-bang control for a class of optimal stochastic control problems with symmetric cost functional. (English) Zbl 1507.93251 Automatica 149, Article ID 110849, 9 p. (2023). MSC: 93E20 49J30 93B52 PDFBibTeX XMLCite \textit{Z. Chen} et al., Automatica 149, Article ID 110849, 9 p. (2023; Zbl 1507.93251) Full Text: DOI
Li, Bo; Zhang, Ranran; Sun, Yichen Multi-period portfolio selection based on uncertainty theory with bankruptcy control and liquidity. (English) Zbl 1505.91353 Automatica 147, Article ID 110751, 12 p. (2023). MSC: 91G10 PDFBibTeX XMLCite \textit{B. Li} et al., Automatica 147, Article ID 110751, 12 p. (2023; Zbl 1505.91353) Full Text: DOI
Zhang, Yu; Jin, Zhuo; Wei, Jiaqin; Yin, George Mean-variance portfolio selection with dynamic attention behavior in a hidden Markov model. (English) Zbl 1504.91300 Automatica 146, Article ID 110629, 8 p. (2022). MSC: 91G10 62P05 62M05 PDFBibTeX XMLCite \textit{Y. Zhang} et al., Automatica 146, Article ID 110629, 8 p. (2022; Zbl 1504.91300) Full Text: DOI arXiv
Yan, Tingjin; Wong, Hoi Ying Equilibrium pairs trading under delayed cointegration. (English) Zbl 1498.91409 Automatica 144, Article ID 110498, 12 p. (2022). MSC: 91G10 34K50 PDFBibTeX XMLCite \textit{T. Yan} and \textit{H. Y. Wong}, Automatica 144, Article ID 110498, 12 p. (2022; Zbl 1498.91409) Full Text: DOI
Firoozi, Dena; Pakniyat, Ali; Caines, Peter E. A class of hybrid LQG mean field games with state-invariant switching and stopping strategies. (English) Zbl 1491.91019 Automatica 141, Article ID 110244, 14 p. (2022). MSC: 91A16 91A10 49N80 49N10 PDFBibTeX XMLCite \textit{D. Firoozi} et al., Automatica 141, Article ID 110244, 14 p. (2022; Zbl 1491.91019) Full Text: DOI arXiv
Firoozi, Dena; Jaimungal, Sebastian Exploratory LQG mean field games with entropy regularization. (English) Zbl 1484.91037 Automatica 139, Article ID 110177, 12 p. (2022). MSC: 91A16 49N80 PDFBibTeX XMLCite \textit{D. Firoozi} and \textit{S. Jaimungal}, Automatica 139, Article ID 110177, 12 p. (2022; Zbl 1484.91037) Full Text: DOI arXiv
Wang, Guangchen; Wu, Zhen A maximum principle for mean-field stochastic control system with noisy observation. (English) Zbl 1482.93712 Automatica 137, Article ID 110135, 13 p. (2022). MSC: 93E20 60H30 91G05 PDFBibTeX XMLCite \textit{G. Wang} and \textit{Z. Wu}, Automatica 137, Article ID 110135, 13 p. (2022; Zbl 1482.93712) Full Text: DOI
Pun, Chi Seng; Ye, Zi Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint. (English) Zbl 1479.91363 Automatica 135, Article ID 109986, 9 p. (2022). MSC: 91G10 93E20 90C39 PDFBibTeX XMLCite \textit{C. S. Pun} and \textit{Z. Ye}, Automatica 135, Article ID 109986, 9 p. (2022; Zbl 1479.91363) Full Text: DOI
Pu, Jiangyan; Zhang, Qi Robust consumption portfolio optimization with stochastic differential utility. (English) Zbl 1480.91272 Automatica 133, Article ID 109835, 8 p. (2021). MSC: 91G10 93E20 93B35 91A15 91A80 PDFBibTeX XMLCite \textit{J. Pu} and \textit{Q. Zhang}, Automatica 133, Article ID 109835, 8 p. (2021; Zbl 1480.91272) Full Text: DOI arXiv
Koga, Shumon; Karafyllis, Iasson; Krstic, Miroslav Towards implementation of PDE control for Stefan system: input-to-state stability and sampled-data design. (English) Zbl 1461.93444 Automatica 127, Article ID 109538, 14 p. (2021). MSC: 93D25 93D23 93C57 93C20 93C10 PDFBibTeX XMLCite \textit{S. Koga} et al., Automatica 127, Article ID 109538, 14 p. (2021; Zbl 1461.93444) Full Text: DOI
Ji, Shaolin; Kong, Chuiliu; Sun, Chuanfeng A robust Kalman-Bucy filtering problem. (English) Zbl 1451.93389 Automatica 122, Article ID 109252, 6 p. (2020). MSC: 93E11 93E10 PDFBibTeX XMLCite \textit{S. Ji} et al., Automatica 122, Article ID 109252, 6 p. (2020; Zbl 1451.93389) Full Text: DOI arXiv
Li, Na; Wang, Guangchen; Wu, Zhen Linear-quadratic optimal control for time-delay stochastic system with recursive utility under full and partial information. (English) Zbl 1448.93348 Automatica 121, Article ID 109169, 9 p. (2020). MSC: 93E20 49N10 93C43 93C23 34K50 PDFBibTeX XMLCite \textit{N. Li} et al., Automatica 121, Article ID 109169, 9 p. (2020; Zbl 1448.93348) Full Text: DOI
Moon, Jun The risk-sensitive maximum principle for controlled forward-backward stochastic differential equations. (English) Zbl 1448.93349 Automatica 120, Article ID 109069, 14 p. (2020). MSC: 93E20 93C15 60H10 PDFBibTeX XMLCite \textit{J. Moon}, Automatica 120, Article ID 109069, 14 p. (2020; Zbl 1448.93349) Full Text: DOI
Lv, Siyu Two-player zero-sum stochastic differential games with regime switching. (English) Zbl 1441.91010 Automatica 114, Article ID 108819, 8 p. (2020). MSC: 91A15 91A05 90C39 PDFBibTeX XMLCite \textit{S. Lv}, Automatica 114, Article ID 108819, 8 p. (2020; Zbl 1441.91010) Full Text: DOI
Wu, Weiping; Gao, Jianjun; Lu, Jun-Guo; Li, Xun On continuous-time constrained stochastic linear-quadratic control. (English) Zbl 1441.93351 Automatica 114, Article ID 108809, 6 p. (2020). MSC: 93E20 49N10 PDFBibTeX XMLCite \textit{W. Wu} et al., Automatica 114, Article ID 108809, 6 p. (2020; Zbl 1441.93351) Full Text: DOI
Ma, Guiyuan; Siu, Chi Chung; Zhu, Song-Ping; Elliott, Robert J. Optimal portfolio execution problem with stochastic price impact. (English) Zbl 1430.91086 Automatica 112, Article ID 108739, 11 p. (2020). MSC: 91G10 93E20 60J60 PDFBibTeX XMLCite \textit{G. Ma} et al., Automatica 112, Article ID 108739, 11 p. (2020; Zbl 1430.91086) Full Text: DOI
Yan, Tingjin; Wong, Hoi Ying Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility. (English) Zbl 1429.91297 Automatica 107, 211-223 (2019). MSC: 91G10 60H10 93E03 PDFBibTeX XMLCite \textit{T. Yan} and \textit{H. Y. Wong}, Automatica 107, 211--223 (2019; Zbl 1429.91297) Full Text: DOI
Saito, Taiga; Takahashi, Akihiko Stochastic differential game in high frequency market. (English) Zbl 1411.91061 Automatica 104, 111-125 (2019). MSC: 91A15 91A23 91G99 60H10 PDFBibTeX XMLCite \textit{T. Saito} and \textit{A. Takahashi}, Automatica 104, 111--125 (2019; Zbl 1411.91061) Full Text: DOI
Wang, Guangchen; Xiao, Hua; Xiong, Jie A kind of LQ non-zero sum differential game of backward stochastic differential equation with asymmetric information. (English) Zbl 1420.91022 Automatica 97, 346-352 (2018). MSC: 91A23 60H10 49N70 91A05 PDFBibTeX XMLCite \textit{G. Wang} et al., Automatica 97, 346--352 (2018; Zbl 1420.91022) Full Text: DOI
Cleynen, Alice; de Saporta, Benoîte Change-point detection for piecewise deterministic Markov processes. (English) Zbl 1406.93317 Automatica 97, 234-247 (2018). MSC: 93E10 93E03 93E20 90C39 90C40 60G40 93-04 PDFBibTeX XMLCite \textit{A. Cleynen} and \textit{B. de Saporta}, Automatica 97, 234--247 (2018; Zbl 1406.93317) Full Text: DOI arXiv
Lin, Kun; Jie, Cheng; Marcus, Steven I. Probabilistically distorted risk-sensitive infinite-horizon dynamic programming. (English) Zbl 1420.91074 Automatica 97, 1-6 (2018). MSC: 91B16 91B06 90C39 PDFBibTeX XMLCite \textit{K. Lin} et al., Automatica 97, 1--6 (2018; Zbl 1420.91074) Full Text: DOI
Krishnamurthy, Vikram; Aprem, Anup; Bhatt, Sujay Multiple stopping time POMDPs: structural results & application in interactive advertising on social media. (English) Zbl 1406.90045 Automatica 95, 385-398 (2018). MSC: 90B35 90B10 90B60 90C40 91D30 PDFBibTeX XMLCite \textit{V. Krishnamurthy} et al., Automatica 95, 385--398 (2018; Zbl 1406.90045) Full Text: DOI arXiv
Lv, Siyu; Wu, Zhen; Zhang, Qing Optimal switching under a hybrid diffusion model and applications to stock trading. (English) Zbl 1401.93227 Automatica 94, 361-372 (2018). MSC: 93E20 49L20 60J10 93C70 93C30 91G10 49L25 60J28 PDFBibTeX XMLCite \textit{S. Lv} et al., Automatica 94, 361--372 (2018; Zbl 1401.93227) Full Text: DOI
Pun, Chi Seng Robust time-inconsistent stochastic control problems. (English) Zbl 1401.93229 Automatica 94, 249-257 (2018). MSC: 93E20 91G10 93B35 91A40 49L20 91A10 PDFBibTeX XMLCite \textit{C. S. Pun}, Automatica 94, 249--257 (2018; Zbl 1401.93229) Full Text: DOI Link
Ye, Xiang-Shen; Xue, Ruo-Bing; Gao, Jianjun; Cao, Xi-Ren Optimization in curbing risk contagion among financial institutes. (English) Zbl 1416.91420 Automatica 94, 214-220 (2018). MSC: 91G99 93C65 90C40 PDFBibTeX XMLCite \textit{X.-S. Ye} et al., Automatica 94, 214--220 (2018; Zbl 1416.91420) Full Text: DOI
Exarchos, Ioannis; Theodorou, Evangelos A. Stochastic optimal control via forward and backward stochastic differential equations and importance sampling. (English) Zbl 1378.93144 Automatica 87, 159-165 (2018). MSC: 93E20 60H10 93C57 93C10 62J05 PDFBibTeX XMLCite \textit{I. Exarchos} and \textit{E. A. Theodorou}, Automatica 87, 159--165 (2018; Zbl 1378.93144) Full Text: DOI arXiv
Saito, Taiga; Takahashi, Akihiko Derivatives pricing with market impact and limit order book. (English) Zbl 1375.93141 Automatica 86, 154-165 (2017). MSC: 93E20 91G10 91B24 93C20 35K20 PDFBibTeX XMLCite \textit{T. Saito} and \textit{A. Takahashi}, Automatica 86, 154--165 (2017; Zbl 1375.93141) Full Text: DOI Link
Wang, Guangchen; Xiao, Hua; Xing, Guojing An optimal control problem for mean-field forward-backward stochastic differential equation with noisy observation. (English) Zbl 1375.93143 Automatica 86, 104-109 (2017). MSC: 93E20 49K45 60H10 93E11 49N10 PDFBibTeX XMLCite \textit{G. Wang} et al., Automatica 86, 104--109 (2017; Zbl 1375.93143) Full Text: DOI arXiv
Bannister, Hugh; Goldys, Beniamin; Penev, Spiridon; Wu, Wei Multiperiod mean-standard-deviation time consistent portfolio selection. (English) Zbl 1372.93216 Automatica 73, 15-26 (2016). MSC: 93E20 49L20 91G10 91G80 PDFBibTeX XMLCite \textit{H. Bannister} et al., Automatica 73, 15--26 (2016; Zbl 1372.93216) Full Text: DOI
Zhu, Dong-Mei; Xie, Yue; Ching, Wai-Ki; Siu, Tak-Kuen Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model. (English) Zbl 1348.93285 Automatica 74, 194-205 (2016). MSC: 93E20 91G10 91G80 PDFBibTeX XMLCite \textit{D.-M. Zhu} et al., Automatica 74, 194--205 (2016; Zbl 1348.93285) Full Text: DOI
Lv, Siyu; Wu, Zhen; Yu, Zhiyong Continuous-time mean-variance portfolio selection with random horizon in an incomplete market. (English) Zbl 1338.93405 Automatica 69, 176-180 (2016). MSC: 93E20 49N10 60H10 PDFBibTeX XMLCite \textit{S. Lv} et al., Automatica 69, 176--180 (2016; Zbl 1338.93405) Full Text: DOI
Shen, Yang Mean-variance portfolio selection in a complete market with unbounded random coefficients. (English) Zbl 1377.93180 Automatica 55, 165-175 (2015). MSC: 93E20 60H10 91G10 49N10 PDFBibTeX XMLCite \textit{Y. Shen}, Automatica 55, 165--175 (2015; Zbl 1377.93180) Full Text: DOI
Gao, Jianjun; Li, Duan; Cui, Xiangyu; Wang, Shouyang Time cardinality constrained mean-variance dynamic portfolio selection and market timing: a stochastic control approach. (English) Zbl 1318.93101 Automatica 54, 91-99 (2015). MSC: 93E20 91G10 93A30 PDFBibTeX XMLCite \textit{J. Gao} et al., Automatica 54, 91--99 (2015; Zbl 1318.93101) Full Text: DOI
Bensoussan, Alain; Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang A class of non-zero-sum stochastic differential investment and reinsurance games. (English) Zbl 1297.93180 Automatica 50, No. 8, 2025-2037 (2014). MSC: 93E20 91B30 49L20 91A15 91A23 PDFBibTeX XMLCite \textit{A. Bensoussan} et al., Automatica 50, No. 8, 2025--2037 (2014; Zbl 1297.93180) Full Text: DOI Link
Jin, Zhuo; Yang, Hailiang; Yin, Gang George Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections. (English) Zbl 1364.93863 Automatica 49, No. 8, 2317-2329 (2013). MSC: 93E20 91G10 60J10 60J75 93C10 49J40 PDFBibTeX XMLCite \textit{Z. Jin} et al., Automatica 49, No. 8, 2317--2329 (2013; Zbl 1364.93863) Full Text: DOI Link
Wu, Zhen A general maximum principle for optimal control of forward-backward stochastic systems. (English) Zbl 1321.49041 Automatica 49, No. 5, 1473-1480 (2013). MSC: 49K45 49J55 93E20 60H10 49N10 91G10 91G80 PDFBibTeX XMLCite \textit{Z. Wu}, Automatica 49, No. 5, 1473--1480 (2013; Zbl 1321.49041) Full Text: DOI
Yu, Zhiyong The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls. (English) Zbl 1271.93174 Automatica 48, No. 10, 2420-2432 (2012). MSC: 93E20 49K45 60H10 PDFBibTeX XMLCite \textit{Z. Yu}, Automatica 48, No. 10, 2420--2432 (2012; Zbl 1271.93174) Full Text: DOI Link
Costa, Oswaldo L. V.; de Oliveira, Alexandre Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises. (English) Zbl 1260.93173 Automatica 48, No. 2, 304-315 (2012). MSC: 93E20 93C55 93C05 60J75 PDFBibTeX XMLCite \textit{O. L. V. Costa} and \textit{A. de Oliveira}, Automatica 48, No. 2, 304--315 (2012; Zbl 1260.93173) Full Text: DOI
Liu, Yong-Jun; Zhang, Wei-Guo; Xu, Wei-Jun Fuzzy multi-period portfolio selection optimization models using multiple criteria. (English) Zbl 1255.93152 Automatica 48, No. 12, 3042-3053 (2012). MSC: 93E20 93C42 90C29 91G10 PDFBibTeX XMLCite \textit{Y.-J. Liu} et al., Automatica 48, No. 12, 3042--3053 (2012; Zbl 1255.93152) Full Text: DOI
Pemy, Moustapha Optimal algorithms for trading large positions. (English) Zbl 1246.93127 Automatica 48, No. 7, 1353-1358 (2012). MSC: 93E20 93E25 PDFBibTeX XMLCite \textit{M. Pemy}, Automatica 48, No. 7, 1353--1358 (2012; Zbl 1246.93127) Full Text: DOI
de Saporta, Benoîte; Dufour, François Numerical method for impulse control of piecewise deterministic Markov processes. (English) Zbl 1246.93129 Automatica 48, No. 5, 779-793 (2012). MSC: 93E25 60J75 PDFBibTeX XMLCite \textit{B. de Saporta} and \textit{F. Dufour}, Automatica 48, No. 5, 779--793 (2012; Zbl 1246.93129) Full Text: DOI arXiv
Kiparissides, Alexandros; Koutinas, Michalis; Kontoravdi, Cleo; Mantalaris, Athanasios; Pistikopoulos, Efstratios N. ‘Closing the loop’ in biological systems modeling – from the in silico to the in vitro. (English) Zbl 1235.93105 Automatica 47, No. 6, 1147-1155 (2011). MSC: 93B52 93A30 92C42 PDFBibTeX XMLCite \textit{A. Kiparissides} et al., Automatica 47, No. 6, 1147--1155 (2011; Zbl 1235.93105) Full Text: DOI
Bensoussan, Alain; Cakanyildirim, Metin; Sethi, Suresh P.; Shi, Ruixia Computation of approximate optimal policies in a partially observed inventory model with rain checks. (English) Zbl 1234.90003 Automatica 47, No. 8, 1589-1604 (2011). Reviewer: Efstratios Rappos (Aubonne) MSC: 90B05 90B25 PDFBibTeX XMLCite \textit{A. Bensoussan} et al., Automatica 47, No. 8, 1589--1604 (2011; Zbl 1234.90003) Full Text: DOI
Elliott, Robert J.; Siu, Tak Kuen A BSDE approach to a risk-based optimal investment of an insurer. (English) Zbl 1213.60100 Automatica 47, No. 2, 253-261 (2011). Reviewer: Nikolaos Halidias (Athens) MSC: 60H10 91A23 PDFBibTeX XMLCite \textit{R. J. Elliott} and \textit{T. K. Siu}, Automatica 47, No. 2, 253--261 (2011; Zbl 1213.60100) Full Text: DOI
Breton, Michèle; Hugonnier, Julien; Masmoudi, Tarek Mutual fund competition in the presence of dynamic flows. (English) Zbl 1195.91142 Automatica 46, No. 7, 1176-1185 (2010). MSC: 91G10 PDFBibTeX XMLCite \textit{M. Breton} et al., Automatica 46, No. 7, 1176--1185 (2010; Zbl 1195.91142) Full Text: DOI
Chen, Li; Wu, Zhen Maximum principle for the stochastic optimal control problem with delay and application. (English) Zbl 1205.93163 Automatica 46, No. 6, 1074-1080 (2010). Reviewer: Mahmoud H. S. Al-Refaei (Doha) MSC: 93E20 60H10 65C30 91G80 34K50 37H10 PDFBibTeX XMLCite \textit{L. Chen} and \textit{Z. Wu}, Automatica 46, No. 6, 1074--1080 (2010; Zbl 1205.93163) Full Text: DOI
Yiu, Ka-Fai Cedric; Liu, Jingzhen; Siu, Tak Kuen; Ching, Wai-Ki Optimal portfolios with regime switching and value-at-risk constraint. (English) Zbl 1189.91199 Automatica 46, No. 6, 979-989 (2010). MSC: 91G10 49L20 90C39 91G60 PDFBibTeX XMLCite \textit{K.-F. C. Yiu} et al., Automatica 46, No. 6, 979--989 (2010; Zbl 1189.91199) Full Text: DOI
Haarbrücker, Gido; Kuhn, Daniel Valuation of electricity swing options by multistage stochastic programming. (English) Zbl 1177.90299 Automatica 45, No. 4, 889-899 (2009). MSC: 90C15 93A30 90C90 PDFBibTeX XMLCite \textit{G. Haarbrücker} and \textit{D. Kuhn}, Automatica 45, No. 4, 889--899 (2009; Zbl 1177.90299) Full Text: DOI Link
Pınar, Mustafa Ç. Sharpe-ratio pricing and hedging of contingent claims in incomplete markets by convex programming. (English) Zbl 1283.91182 Automatica 44, No. 8, 2063-2073 (2008). MSC: 91G20 93E03 90C25 PDFBibTeX XMLCite \textit{M. Ç. Pınar}, Automatica 44, No. 8, 2063--2073 (2008; Zbl 1283.91182) Full Text: DOI Link
Thénié, J.; Vial, J.-Ph. Step decision rules for multistage stochastic programming: a heuristic approach. (English) Zbl 1283.90027 Automatica 44, No. 6, 1569-1584 (2008). MSC: 90C15 PDFBibTeX XMLCite \textit{J. Thénié} and \textit{J. Ph. Vial}, Automatica 44, No. 6, 1569--1584 (2008; Zbl 1283.90027) Full Text: DOI Link
Zhang, Hanqin; Zhang, Qing Trading a mean-reverting asset: buy low and sell high. (English) Zbl 1283.93257 Automatica 44, No. 6, 1511-1518 (2008). MSC: 93E03 91B60 PDFBibTeX XMLCite \textit{H. Zhang} and \textit{Q. Zhang}, Automatica 44, No. 6, 1511--1518 (2008; Zbl 1283.93257) Full Text: DOI
Costa, Oswaldo L. V.; Araujo, Michael V. A generalized multi-period mean-variance portfolio optimization with Markov switching parameters. (English) Zbl 1157.91356 Automatica 44, No. 10, 2487-2497 (2008). MSC: 91G10 93E03 60J05 PDFBibTeX XMLCite \textit{O. L. V. Costa} and \textit{M. V. Araujo}, Automatica 44, No. 10, 2487--2497 (2008; Zbl 1157.91356) Full Text: DOI
Costa, Oswaldo L. V.; de Paulo, Wanderlei L. Indefinite quadratic with linear costs optimal control of Markov jump with multiplicative noise systems. (English) Zbl 1115.49021 Automatica 43, No. 4, 587-597 (2007). MSC: 49K45 49K40 93E20 91B28 60J05 PDFBibTeX XMLCite \textit{O. L. V. Costa} and \textit{W. L. de Paulo}, Automatica 43, No. 4, 587--597 (2007; Zbl 1115.49021) Full Text: DOI
Zhang, K.; Yang, X. Q.; Teo, K. L. Augmented Lagrangian method applied to American option pricing. (English) Zbl 1157.91377 Automatica 42, No. 8, 1407-1416 (2006). MSC: 91G60 90C30 91G20 PDFBibTeX XMLCite \textit{K. Zhang} et al., Automatica 42, No. 8, 1407--1416 (2006; Zbl 1157.91377) Full Text: DOI
Bhar, Ramaprasad; Chiarella, Carl; Hung, Hing; Runggaldier, Wolfgang J. The volatility of the instantaneous spot interest rate implied by arbitrage pricing – a dynamic Bayesian approach. (English) Zbl 1157.91353 Automatica 42, No. 8, 1381-1393 (2006). MSC: 91B28 93E11 62P20 91B24 PDFBibTeX XMLCite \textit{R. Bhar} et al., Automatica 42, No. 8, 1381--1393 (2006; Zbl 1157.91353) Full Text: DOI
van Delft, Ch.; Vial, J.-Ph. A practical implementation of stochastic programming: an application to the evaluation of option contracts in supply chains. (English) Zbl 1116.90385 Automatica 40, No. 5, 743-756 (2004). MSC: 90C15 93C65 90B50 91B28 PDFBibTeX XMLCite \textit{Ch. van Delft} and \textit{J. Ph. Vial}, Automatica 40, No. 5, 743--756 (2004; Zbl 1116.90385) Full Text: DOI