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Numerical approximations for nonlinear stochastic systems with delays
7 references·1 citing·25 second hop
Numerical approximations for nonlinear stochastic systems with delays (2005)Numerical approximations for nonlinear st…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Numerical Methods for Stochastic Control Problems in Continuous Time (2001)Numerical Methods for Stochas…Heavy Traffic Analysis of Controlled Queueing and Communication Networks (2001)Heavy Traffic Analysis of Con…Controlled and optimally controlled multiplexing systems: A numerical exploration (1995)Controlled and optimally cont…Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Numerical Methods for Stochas…Brownian Motion and Stochastic Calculus (1988)Brownian Motion and Stochasti…Probability Methods for Approximations in Stochastic Control and for Elliptic Equations (1977)Probability Methods for Appro…Numerical Algorithms for Optimal Controls for Nonlinear Stochastic Systems With Delays $ $ (2010)Numerical Algorithms for Opti…MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Stochastic differential equations with reflecting boundary conditions (1984)Martingale Methods in Financial Modelling (1997)An introduction to stochastic partial differential equations (2006)Dynamic modeling and control of supply chain systems: A review (2007)Menu Costs and Phillips Curves (2007)Stochastic Theory of a Data-Handling System with Multiple Sources (1982)Numerical Methods for Stochastic Control Problems in Continuous Time (1992)Consistency issues for numerical methods for variance control, with applications to optimization in finance (1999)An overview of Brownian and non-Brownian FCLTs for the single-server queue (2000)Control of Polling in Presence of Vacations in Heavy Traffic with Applications to Satellite and Mobile Radio Systems (2002)Numerical Methods for Controlled Stochastic Delay Systems (2008)Analysis, Design, and Control of Queueing Systems (2002)Nash equilibria for combined flow control and routing in networks: asymptotic behavior for a large number of users (2002)Drift rate control of a Brownian processing system (2005)Modelling of extremal events in insurance and finance (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Dynamic routing in open queueing networks: Brownian models, cut constraints and resource pooling (1993)On an Investment-Consumption Model with Transaction Costs (1996)A general version of the fundamental theorem of asset pricing (1994)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Log-Periodogram Regression of Time Series with Long Range Dependence (1995)A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS (2005)Investment Shocks and Asset Prices (2011)
this work references cited by second hop

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Cited by

  • 2010Numerical Algorithms for Optimal Controls for Nonlinear Stochastic Systems With Delays $ $16 cited

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