Regression Monte Carlo for impulse control
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Cites work
- (s,S) inventory systems with correlated demands
- A class of solvable impulse control problems
- A Direct Solution Method for Stochastic Impulse Control Problems of One-dimensional Diffusions
- A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options
- A general verification result for stochastic impulse control problems
- A regression-based smoothing spline Monte Carlo algorithm for pricing American options in discrete time
- Applied stochastic control of jump diffusions
- Classical and impulse stochastic control of the exchange rate using interest rates and reserves.
- Convergence of implicit schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities
- De Finetti's Dividend Problem and Impulse Control for a Two-Dimensional Insurance Risk Process
- Explicit investment rules with time-to-build and uncertainty
- Gaussian processes for machine learning.
- Impulse control of multidimensional jump diffusions in finite time horizon
- Inventory management with partially observed nonstationary demand
- Irreversible investment with fixed adjustment costs: a stochastic impulse control approach
- On the Optimal Stochastic Impulse Control of Linear Diffusions
- On the solution of general impulse control problems using superharmonic functions
- Optimal capital accumulation under price uncertainty and costly reversibility
- Optimal dividend payments for a two-dimensional insurance risk process
- Optimal dividends in the dual model under transaction costs
- Optimal harvesting under resource stock and price uncertainty
- Optimal price management in retail energy markets: an impulse control problem with asymptotic estimates
- Optimality of an $(s, S)$ Policy with Compound Poisson and Diffusion Demands: A Quasi-variational Inequalities Approach
- Sequential capacity expansion options
- Stochastic impulse control problem with state and time dependent cost functions
- Taxation and rotation age under stochastic forest stand value
- Uncertainty and the trade-off between scale and flexibility in investment
- Valuing American options by simulation: a simple least-squares approach
- Zero-sum stochastic differential game in finite horizon involving impulse controls
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