Optimization in economics and finance. Some advances in non-linear, dynamic, multi-criteria and stochastic models.
Research exposition (monographs, survey articles) pertaining to calculus of variations and optimal control (49-02) Multi-objective and goal programming (90C29) Applications of mathematical programming (90C90) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Economic growth models (91B62)
This book is an interesting and interdisciplinary survey of applications of optimization to special parts of economics (growth theory) and finance. On the one hand this book contains some materials already published by the authors as original papers (the sources are exactly given), on the other hand the whole contents of this book is presented in a unified manner. It is a pleasure to read the explicitly given hints to proposed extensions of existing methods and also to read discussions, assessments, recommendations and conclusions of the authors to their methods, examples, computer programs (SCOM), figures and to the existing literatur. Clearly, the book isn't written for students of the first years, but for people having a certain knowledge of optimization, economics and finance. Mathematically one finds single- and multiobjective optimal control with Pontryagin's conditions, dynamic optimization modelling, transversality conditions, generalized duality, Kuhn-Tucker theory, relaxing convexity assumptions and a lot of hints and remarks to Lagrangeans, Hamiltonians, uncertainty, perturbations (also stochastic ones), sensitivity, sustainability, stochastic influences, reducing the set of Pareto-optimal points and jump behaviours.
- scientific article; zbMATH DE number 52051
- scientific article; zbMATH DE number 51996
- scientific article; zbMATH DE number 51791
- Mathematical optimization and economic analysis
- scientific article; zbMATH DE number 1909066
- scientific article; zbMATH DE number 43138
- Mathematical optimization and economic theory
- scientific article; zbMATH DE number 2001179
- Introduction to non-linear optimization
- scientific article; zbMATH DE number 3992265
- Stochastic optimization and economic models
- Optimization methods for a stakeholder society. A revolution in economic thinking by multi-objective optimization.
- Some extensions of nonconvex economic modeling: invexity, quasimax, and new stability conditions
- Pontryagin principle in abstract spaces
- Dynamic optimization models in finance: some extensions to the framework, models, and computation
- Optimal control on an infinite domain
- Solution existence theorems for finite horizon optimal economic growth problems
- A numerical approach for solving optimal control problem of fractional order vibration equation of large membranes
- Visual MISER: an efficient user-friendly visual program for solving optimal control problems
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