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pro vyhledávání: '"Ly Vath, Vathana"'
In this work, we study the optimization problem of a renewable resource in finite time. The resource is assumed to evolve according to a logistic stochastic differential equation. The manager may harvest partially the resource at any time and sell it
Externí odkaz:
http://arxiv.org/abs/1807.04160
Publikováno v:
In Journal of Mathematical Analysis and Applications 1 September 2019 477(1):627-656
Publikováno v:
In Journal of Mathematical Analysis and Applications 15 May 2015 425(2):666-694
Autor:
Gaïgi, M'hamed1 (AUTHOR) mhamed.gaigi@enit.utm.tn, Ly Vath, Vathana1,2 (AUTHOR) vathana.lyvath@ensiie.fr, Scotti, Simone3 (AUTHOR) scotti@lpsm.paris
Publikováno v:
European Journal of Operational Research. Sep2022, Vol. 301 Issue 3, p1181-1194. 14p.
Akademický článek
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Autor:
Gaigi, M'hamed mhamed.gaigi@ensiie.fr, Ly Vath, Vathana1 lyvath@ensiie.fr, Mnif, Mohamed2 mohamed.mnif@enit.rnu.tn, Toumi, Salwa3 salwa.toumi@gmail.com
Publikováno v:
Applied Mathematics & Optimization. Aug2016, Vol. 74 Issue 1, p163-195. 33p.
Autor:
Ly Vath, Vathana1 lyvath@math.jussieu.fr, Mnif, Mohamed2 mohamed.mnif@enit.rnu.tn, Huyên Pham3 pham@math.jussieu.fr
Publikováno v:
Finance & Stochastics. 2007, Vol. 11 Issue 1, p51-90. 40p. 2 Diagrams, 1 Graph.
Autor:
Ly Vath, Vathana, Mnif, Mohamed
18 pages; We investigate numerical aspects of a portfolio selection problem studied in [10], in which we suggest a model of liquidity risk and price impact and formulate the problem as an impulse control problem under state constraint. We show that o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::6da8f1cd771e2d3feac3e576106f5bd9
https://hal.archives-ouvertes.fr/hal-00135815
https://hal.archives-ouvertes.fr/hal-00135815
Autor:
Ly Vath, Vathana
Publikováno v:
Mathematics [math]. Université Paris-Diderot-Paris VII, 2006. English
Mathematics [math]. Université Paris-Diderot-Paris VII, 2006. English. ⟨NNT : ⟩
Mathematics [math]. Université Paris-Diderot-Paris VII, 2006. English. ⟨NNT : ⟩
We study stochastic control applications to real options and to liquidity risk model. More precisely, we investigate, in the first part, a model of optimal portfolio selection under liquidity risk and price impact, then, in the second part, two real
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::071cef13bcedf9496b97d9745c11716e
https://theses.hal.science/tel-00119754
https://theses.hal.science/tel-00119754
Autor:
Ly Vath, Vathana
Nous étudions quelques applications du contrôle stochastique aux options réelles et au risque de liquidité. Plus précisément, dans la première partie, nous nous intéressons à un problème de sélection du portefeuille optimal sous un modèle
Externí odkaz:
http://tel.archives-ouvertes.fr/tel-00119754
http://tel.archives-ouvertes.fr/docs/00/11/97/54/PDF/VLyvath_these.pdf
http://tel.archives-ouvertes.fr/docs/00/11/97/54/PDF/VLyvath_these.pdf