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    SIAMCO
    2008
    80views more  SIAMCO 2008»
    Optimal Transportation Problem by Stochastic Optimal Control
    13 years 11 months ago
    Optimal Transportation Problem by Stochastic Optimal Control
    Download  eprints3.math.sci.hokudai.ac.jp
    We solve optimal transportation problem using stochastic optimal control theory. Indeed, for a super linear cost at most quadratic at infinity, we prove Kantorovich duality theore...
    Toshio Mikami, Michèle Thieullen
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    AUTOMATICA
    2006
    183views more  AUTOMATICA 2006»
    Bank management via stochastic optimal control
    13 years 11 months ago
    Bank management via stochastic optimal control
    Download  www.puk.ac.za
    This paper examines a problem related to the optimal risk management of banks in a stochastic dynamic setting. In particular, we minimize7 market and capital adequacy risk that in...
    Janine Mukuddem-Petersen, Mark Adam Petersen
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