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Schäl, Manfred

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Author ID: schal.manfred Recent zbMATH articles by "Schäl, Manfred"
Published as: Schael, M.; Schael, Manfred; Schäl, M.; Schäl, Manfred
Documents Indexed: 58 Publications since 1968, including 3 Books

Publications by Year

Citations contained in zbMATH Open

38 Publications have been cited 434 times in 357 Documents Cited by Year
Conditions for optimality in dynamic programming and for the limit of \(n\)-stage optimal policies to be optimal. Zbl 0316.90080
Schäl, Manfred
123
1975
On quadratic cost criteria for option hedging. Zbl 0799.90012
Schäl, Manfred
32
1994
Average optimality in dynamic programming with general state space. Zbl 0777.90079
Schäl, Manfred
32
1993
On dynamic programming: Compactness of the space of policies. Zbl 0317.60025
Schäl, Manfred
28
1975
A selection theorem for optimization problems. Zbl 0351.90069
Schäl, Manfred
28
1974
Estimation and control in discounted stochastic dynamic programming. Zbl 0621.90092
Schäl, Manfred
25
1987
On value preserving and growth optimal portfolios. Zbl 0959.91028
Korn, Ralf; Schäl, Manfred
14
1999
On the optimality of (s, S)-policies in dynamic inventory models with finite horizon. Zbl 0333.90015
Schäl, Manfred
13
1976
On discrete-time dynamic programming in insurance: exponential utility and minimizing the ruin probability. Zbl 1141.91031
Schäl, Manfred
12
2004
On the second optimality equation for semi-Markov decision models. Zbl 0773.90091
Schäl, Manfred
12
1992
On dynamic programming and statistical decision theory. Zbl 0417.62002
Schäl, Manfred
12
1979
Piecewise deterministic Markov control processes with feedback controls and unbounded costs. Zbl 1084.49027
Forwick, Lothar; Schäl, Manfred; Schmitz, Michael
11
2004
On piecewise deterministic Markov control processes: Control of jumps and of risk processes in insurance. Zbl 0906.90170
Schäl, Manfred
11
1998
Control of ruin probabilities by discrete-time investments. Zbl 1101.93087
Schäl, Manfred
9
2005
Portfolio optimization and martingale measures. Zbl 1016.91051
Schäl, Manfred
8
2000
The numeraire portfolio in financial markets modeled by a multi-dimensional jump diffusion process. Zbl 1137.91455
Korn, Ralf; Oertel, Frank; Schäl, Manfred
7
2003
Stationary policies in dynamic programming models under compactness assumptions. Zbl 0533.90093
Schäl, Manfred
6
1983
Markov renewal processes with auxiliary paths. Zbl 0223.60036
Schäl, Manfred
6
1970
Stationary policies and Markov policies in Borel dynamic programming. Zbl 0585.90088
Schäl, Manfred; Sudderth, William
5
1986
The analysis of queues with state-dependent parameters by Markov renewal processes. Zbl 0218.60089
Schäl, M.
5
1971
Optimal control of semi-Markov chains under uncertainty with applications to queueing models. Zbl 0435.90107
Kolonko, M.; Schäl, M.
4
1980
Continuous dynamic programming with discrete time-parameter. Zbl 0213.45402
Schäl, M.
4
1972
Price systems constructed by optimal dynamic portfolios. Zbl 1054.91042
Schäl, Manfred
3
2000
Über Lösungen einer Erneuerungsgleichung. Zbl 0218.60086
Schäl, M.
3
1971
Rates of convergence in Markov renewal processes with auxiliary paths. Zbl 0192.54602
Schäl, M.
3
1970
Numeraire portfolios and utility-based price systems under proportional transaction costs. Zbl 1398.91545
Sass, Jörn; Schäl, Manfred
2
2014
The numeraire portfolio in discrete time: existence, related concepts and applications. Zbl 1181.91294
Korn, Ralf; Schäl, Manfred
2
2009
Martingale measures and hedging for discrete-time financial markets. Zbl 1014.91041
Schäl, Manfred
2
1999
On hitting times for jump-diffusion processes with past dependent local characteristics. Zbl 0802.60039
Schäl, Manfred
2
1993
An operator-theoretical treatment of negative dynamic programming. Zbl 0461.90074
Schäl, Manfred
2
1978
Stochastic optimization for the ruin probability. Zbl 1354.91076
Schäl, Manfred
1
2003
Markov decision processes in finance and dynamic options. Zbl 1133.90416
Schäl, Manfred
1
2002
Estimation and control in Markov decision models. Zbl 0657.90098
Schäl, M.
1
1988
Markoffsche Entscheidungsprozesse. Zbl 0623.90086
Schäl, M.
1
1986
On the value iteration in Markov decision models. Zbl 0573.90098
Schäl, M.
1
1985
Asymptotic results for sequential Markov decision models under uncertainty. Zbl 0529.90092
Schael, Manfred
1
1984
On negative dynamic programming with irreducible Markov chains and the average cost criterion. Zbl 0388.90081
Schäl, Manfred
1
1977
Ein verallgemeinertes stationäres Entscheidungsmodell der dynamischen Optimierung. Zbl 0219.90051
Schäl, M.
1
1970
Numeraire portfolios and utility-based price systems under proportional transaction costs. Zbl 1398.91545
Sass, Jörn; Schäl, Manfred
2
2014
The numeraire portfolio in discrete time: existence, related concepts and applications. Zbl 1181.91294
Korn, Ralf; Schäl, Manfred
2
2009
Control of ruin probabilities by discrete-time investments. Zbl 1101.93087
Schäl, Manfred
9
2005
On discrete-time dynamic programming in insurance: exponential utility and minimizing the ruin probability. Zbl 1141.91031
Schäl, Manfred
12
2004
Piecewise deterministic Markov control processes with feedback controls and unbounded costs. Zbl 1084.49027
Forwick, Lothar; Schäl, Manfred; Schmitz, Michael
11
2004
The numeraire portfolio in financial markets modeled by a multi-dimensional jump diffusion process. Zbl 1137.91455
Korn, Ralf; Oertel, Frank; Schäl, Manfred
7
2003
Stochastic optimization for the ruin probability. Zbl 1354.91076
Schäl, Manfred
1
2003
Markov decision processes in finance and dynamic options. Zbl 1133.90416
Schäl, Manfred
1
2002
Portfolio optimization and martingale measures. Zbl 1016.91051
Schäl, Manfred
8
2000
Price systems constructed by optimal dynamic portfolios. Zbl 1054.91042
Schäl, Manfred
3
2000
On value preserving and growth optimal portfolios. Zbl 0959.91028
Korn, Ralf; Schäl, Manfred
14
1999
Martingale measures and hedging for discrete-time financial markets. Zbl 1014.91041
Schäl, Manfred
2
1999
On piecewise deterministic Markov control processes: Control of jumps and of risk processes in insurance. Zbl 0906.90170
Schäl, Manfred
11
1998
On quadratic cost criteria for option hedging. Zbl 0799.90012
Schäl, Manfred
32
1994
Average optimality in dynamic programming with general state space. Zbl 0777.90079
Schäl, Manfred
32
1993
On hitting times for jump-diffusion processes with past dependent local characteristics. Zbl 0802.60039
Schäl, Manfred
2
1993
On the second optimality equation for semi-Markov decision models. Zbl 0773.90091
Schäl, Manfred
12
1992
Estimation and control in Markov decision models. Zbl 0657.90098
Schäl, M.
1
1988
Estimation and control in discounted stochastic dynamic programming. Zbl 0621.90092
Schäl, Manfred
25
1987
Stationary policies and Markov policies in Borel dynamic programming. Zbl 0585.90088
Schäl, Manfred; Sudderth, William
5
1986
Markoffsche Entscheidungsprozesse. Zbl 0623.90086
Schäl, M.
1
1986
On the value iteration in Markov decision models. Zbl 0573.90098
Schäl, M.
1
1985
Asymptotic results for sequential Markov decision models under uncertainty. Zbl 0529.90092
Schael, Manfred
1
1984
Stationary policies in dynamic programming models under compactness assumptions. Zbl 0533.90093
Schäl, Manfred
6
1983
Optimal control of semi-Markov chains under uncertainty with applications to queueing models. Zbl 0435.90107
Kolonko, M.; Schäl, M.
4
1980
On dynamic programming and statistical decision theory. Zbl 0417.62002
Schäl, Manfred
12
1979
An operator-theoretical treatment of negative dynamic programming. Zbl 0461.90074
Schäl, Manfred
2
1978
On negative dynamic programming with irreducible Markov chains and the average cost criterion. Zbl 0388.90081
Schäl, Manfred
1
1977
On the optimality of (s, S)-policies in dynamic inventory models with finite horizon. Zbl 0333.90015
Schäl, Manfred
13
1976
Conditions for optimality in dynamic programming and for the limit of \(n\)-stage optimal policies to be optimal. Zbl 0316.90080
Schäl, Manfred
123
1975
On dynamic programming: Compactness of the space of policies. Zbl 0317.60025
Schäl, Manfred
28
1975
A selection theorem for optimization problems. Zbl 0351.90069
Schäl, Manfred
28
1974
Continuous dynamic programming with discrete time-parameter. Zbl 0213.45402
Schäl, M.
4
1972
The analysis of queues with state-dependent parameters by Markov renewal processes. Zbl 0218.60089
Schäl, M.
5
1971
Über Lösungen einer Erneuerungsgleichung. Zbl 0218.60086
Schäl, M.
3
1971
Markov renewal processes with auxiliary paths. Zbl 0223.60036
Schäl, Manfred
6
1970
Rates of convergence in Markov renewal processes with auxiliary paths. Zbl 0192.54602
Schäl, M.
3
1970
Ein verallgemeinertes stationäres Entscheidungsmodell der dynamischen Optimierung. Zbl 0219.90051
Schäl, M.
1
1970
all top 5

Cited by 381 Authors

25 Hernández-Lerma, Onésimo
14 Jaśkiewicz, Anna
14 Nowak, Andrzej S.
11 Feinberg, Eugene Aleksandrovich
10 Guo, Xianping
10 Minjárez-Sosa, J. Adolfo
10 Schäl, Manfred
9 Piunovskiĭ, Alekseĭ Borisovich
8 Dufour, François
8 Marcus, Steven I.
7 Bäuerle, Nicole
7 Cavazos-Cadena, Rolando
7 Page, Frank H. jun.
6 Runggaldier, Wolfgang J.
6 Waldmann, Karl-Heinz
6 Yüksel, Serdar
6 Zhang, Yi
5 Escobedo-Trujillo, Beatris Adriana
5 Luque-Vásquez, Fernando
5 Platen, Eckhard
5 Stidham, Shaler jun.
5 Yu, Huizhen
4 Hellwig, Klaus
4 Kalin, Dieter
4 Kasyanov, Pavlo O.
4 Mondal, Prasenjit
4 Primbs, James A.
4 Sudderth, William D.
4 Vega-Amaya, Oscar
4 Yamada, Yuji
3 Altman, Eitan
3 Borkar, Vivek Shripad
3 Costa, Oswaldo Luiz V.
3 Federgruen, Awi
3 Hernández-del-Valle, Adrián
3 Kallsen, Jan
3 Kolonko, Michael
3 López-Barrientos, José Daniel
3 Mania, Michael
3 Matkowski, Janusz
3 Matsumoto, Koichi
3 Montes-de-Oca, Raúl
3 Pestien, Victor C.
3 Rásonyi, Miklós
3 Rieder, Ulrich
3 Romera, Rosario
3 Tevzadze, Revaz
3 Wakuta, Kazuyoshi
3 Wei, Qingda
2 Balder, Erik J.
2 Belak, Christoph
2 Benzing, Harald
2 Bielecki, Tomasz R.
2 Carassus, Laurence
2 Christensen, Morten Mosegaard
2 Christensen, Soren
2 Coleman, Thomas F.
2 Deng, Jun
2 Detering, Nils
2 Diasparra, Maikol A.
2 Dutta, Prajit K.
2 Engl, Heinz W.
2 Feldman, Mark
2 Fontana, Claudio
2 Genadot, Alexandre
2 Ghosh, Mrinal Kanti
2 González-Hernández, Juan
2 Gordienko, Evgueni I.
2 Goreac, Dan
2 Hilgert, Nadine
2 Hill, Theodore Preston
2 Hordijk, Arie
2 Hubalek, Friedrich
2 Jasso-Fuentes, Héctor
2 Kara, Ali Devran
2 Karatzas, Ioannis
2 Klinger Monteiro, Paulo
2 Li, Yuying
2 López-Martínez, Raquiel Rufino
2 Majumdar, Mukul K.
2 Mao, Xuerong
2 Mercurio, Fabio
2 Moustafa, Magdi Sami
2 Prieto-Rumeau, Tomás
2 Rokhlin, Dmitriĭ Borisovich
2 Schellhaas, Helmut
2 Schweizer, Martin
2 Shubik, Martin
2 Shwartz, Adam
2 Sokolichin, A. A.
2 Stettner, Łukasz
2 Sundaram, Rangarajan K.
2 Theodorescu, Radu
2 Thonhauser, Stefan
2 Wang, Xiaobo
2 Wu, Xiao
2 Zgurovsky, Mikhail Z.
2 Zhang, Junyu
1 Alaffita-Hernández, F. A.
1 Altay, Sühan
...and 281 more Authors
all top 5

Cited in 102 Serials

22 Journal of Mathematical Analysis and Applications
17 SIAM Journal on Control and Optimization
15 Systems & Control Letters
13 Applied Mathematics and Optimization
13 Journal of Mathematical Economics
12 Journal of Optimization Theory and Applications
12 Stochastic Processes and their Applications
10 Optimization
10 European Journal of Operational Research
9 Annals of Operations Research
9 Zeitschrift für Operations Research. Serie A: Theorie
8 OR Spektrum
8 Insurance Mathematics & Economics
8 Operations Research Letters
8 Mathematical Methods of Operations Research
8 International Journal of Theoretical and Applied Finance
7 Kybernetika
6 Journal of Applied Probability
5 Mathematics of Operations Research
5 Stochastic Analysis and Applications
5 Acta Applicandae Mathematicae
5 Queueing Systems
5 Finance and Stochastics
4 Automatica
4 Economic Theory
4 Top
4 Applied Mathematical Finance
4 Scandinavian Actuarial Journal
4 Quantitative Finance
4 Asia-Pacific Financial Markets
3 Metrika
3 Applied Mathematics and Computation
3 International Journal of Game Theory
3 Journal of Economic Theory
3 Journal of Economic Dynamics & Control
3 The Annals of Applied Probability
3 Communications in Statistics. Theory and Methods
3 ZOR. Zeitschrift für Operations Research
3 Mathematical Finance
3 Probability in the Engineering and Informational Sciences
3 Dynamic Games and Applications
2 Advances in Applied Probability
2 International Journal of Control
2 Lithuanian Mathematical Journal
2 Stochastics
2 Theory of Probability and its Applications
2 Journal of Soviet Mathematics
2 Proceedings of the American Mathematical Society
2 Statistics & Probability Letters
2 Acta Mathematicae Applicatae Sinica. English Series
2 MCSS. Mathematics of Control, Signals, and Systems
2 Methodology and Computing in Applied Probability
2 Decisions in Economics and Finance
2 Journal of Probability and Statistics
1 Applicable Analysis
1 Computers & Mathematics with Applications
1 Israel Journal of Mathematics
1 Mathematical Biosciences
1 Moscow University Mathematics Bulletin
1 Abhandlungen aus dem Mathematischen Seminar der Universität Hamburg
1 The Annals of Probability
1 Demonstratio Mathematica
1 Journal of Computational and Applied Mathematics
1 Manuscripta Mathematica
1 Mathematical Programming
1 Mathematische Zeitschrift
1 Publications of the Research Institute for Mathematical Sciences, Kyoto University
1 Statistica Neerlandica
1 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
1 Optimal Control Applications & Methods
1 Journal of Information & Optimization Sciences
1 Mathematical Social Sciences
1 Probability Theory and Related Fields
1 Applied Mathematics Letters
1 Economics Letters
1 Discrete Event Dynamic Systems
1 Applied Mathematical Modelling
1 Automation and Remote Control
1 Cybernetics and Systems Analysis
1 Applicationes Mathematicae
1 Journal of Mathematical Sciences (New York)
1 European Journal of Control
1 Differential Equations and Dynamical Systems
1 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
1 Abstract and Applied Analysis
1 Natural Resource Modeling
1 Journal of Systems Science and Complexity
1 Stochastic Models
1 Journal of Machine Learning Research (JMLR)
1 OR Spectrum
1 ASTIN Bulletin
1 4OR
1 Review of Derivatives Research
1 Stochastics
1 Journal of Fixed Point Theory and Applications
1 Networks and Heterogeneous Media
1 SIAM Journal on Financial Mathematics
1 European Actuarial Journal
1 Stochastic Systems
1 Journal of the Operations Research Society of China
...and 2 more Serials

Citations by Year