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## Schäl, Manfred

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 Author ID: schal.manfred Published as: Schael, M.; Schael, Manfred; Schäl, M.; Schäl, Manfred
 Documents Indexed: 58 Publications since 1968, including 3 Books
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#### Co-Authors

 46 single-authored 3 Korn, Ralf 2 Sass, Jörn 1 Forwick, Lothar 1 Hübner, Gaby 1 Kolonko, Michael 1 Oertel, Frank 1 Schmitz, Michael 1 Sudderth, William D. 1 van Dawen, Rolf
all top 5

#### Serials

 5 Mathematics of Operations Research 3 Zeitschrift für Angewandte Mathematik und Mechanik (ZAMM) 3 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 3 Mathematical Methods of Operations Research 2 Stochastic Processes and their Applications 2 Decisions in Economics and Finance 1 Advances in Applied Probability 1 Stochastics 1 Abhandlungen aus dem Mathematischen Seminar der Universität Hamburg 1 The Annals of Statistics 1 Archiv der Mathematik 1 Wissenschaftliche Zeitschrift 1 Insurance Mathematics & Economics 1 Acta Applicandae Mathematicae 1 Statistics & Decisions 1 Optimization 1 Probability Theory and Related Fields 1 SIAM Journal on Applied Mathematics 1 ZOR. Zeitschrift für Operations Research 1 Mathematical Finance 1 ZAMM. Zeitschrift für Angewandte Mathematik und Mechanik 1 Scandinavian Actuarial Journal 1 PAMM. Proceedings in Applied Mathematics and Mechanics 1 Annals of Mathematical Statistics
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#### Fields

 43 Operations research, mathematical programming (90-XX) 23 Probability theory and stochastic processes (60-XX) 20 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 8 Calculus of variations and optimal control; optimization (49-XX) 7 Systems theory; control (93-XX) 6 Statistics (62-XX) 1 Measure and integration (28-XX)

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