Cost-efficient monitoring of continuous-time stochastic processes based on discrete observations
From MaRDI portal
Cites work
- A condition-based maintenance policy for multi-component systems with a high maintenance setup cost
- A convergent difference scheme for a class of partial integro-differential equations modeling pricing under uncertainty
- A note on the exact discretization for a Cauchy-Euler equation: application to the Black-Scholes equation
- A novel replacement policy for a linear deteriorating system using stochastic process with dependent components
- A simplified stochastic optimization model for logistic dynamics with control-dependent carrying capacity
- An efficient algorithm for accelerating Monte Carlo approximations of the solution to boundary value problems
- An implementation of Milstein's method for general bounded diffusions
- An optimal switching approach toward cost-effective control of a stand-alone photovoltaic panel system under stochastic environment
- Analysis and computation of an optimality equation arising in an impulse control problem with discrete and costly observations
- Applied stochastic control of jump diffusions
- Competition under industry-stock-driven prevailing market price: environmental consequences and the effect of uncertainty
- Control charts with random interarrival times between successive samplings
- Convergence of implicit schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities
- Discretely observed Brownian motion governed by telegraph process: estimation
- Dynamic portfolio selection with mispricing and model ambiguity
- European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme
- Fitted finite volume method for indifference pricing in an exponential utility regime-switching model
- Fixed point theorems and applications
- Generalized entropy and model uncertainty
- High-order filtered schemes for time-dependent second order HJB equations
- scientific article; zbMATH DE number 4205918 (Why is no real title available?)
- Impulse control of multidimensional jump diffusions
- Joint optimization of sampling and control of partially observable failing systems
- Mathematical analysis for management of released fish
- Model parameter estimation and residual life prediction for a partially observable failing system
- Monitoring the mean of multivariate financial time series
- Newton-type Gauss-Seidel Lax-Friedrichs high-order fast sweeping methods for solving generalized eikonal equations at large-scale discretization
- Nonlinear expectations and stochastic calculus under uncertainty. With robust CLT and G-Brownian motion
- Numerical analysis of strongly nonlinear PDEs
- Numerical methods for two person games arising from transboundary pollution with emission permit trading
- On the impulse control of jump diffusions
- Optimal control and the value of information for a stochastic epidemiological SIS-model
- Optimal control under uncertainty and Bayesian parameters adjustments
- Optimal design of experimental epidemics
- Optimal harvesting policy of an inland fishery resource under incomplete information
- Optimal sustainable harvesting of populations in random environments
- Optimized temporal sampling designs of the Weibull growth curve with extensions to the von Bertalanffy model
- Portfolio optimization with ambiguous correlation and stochastic volatilities
- Positive numerical splitting method for the Hull and White 2D Black-Scholes equation
- Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme
- Probabilistic forecasts of solar irradiance using stochastic differential equations
- Robust stochastic control modeling of dam discharge to suppress overgrowth of downstream harmful algae
- Sequential testing of a Wiener process with costly observations
- Stationary moments, diffusion limits, and extinction times for logistic growth with random catastrophes
- Switching cost models as hypothesis tests
- User’s guide to viscosity solutions of second order partial differential equations
This page was built for publication: Cost-efficient monitoring of continuous-time stochastic processes based on discrete observations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6579516)
