Search Results - Lim, A.E.B.

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  1. 1
    A new risk-sensitive maximum principle

    A new risk-sensitive maximum principle by Lim, A.E.B., Xun Yu Zhou

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  2. 2
    Risk-sensitive control with HARA utility

    Risk-sensitive control with HARA utility by Lim, A.E.B., Xun Yu Zhou

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  3. 3
    Optimal investment and consumption when regime transitions cause price shocks

    Optimal investment and consumption when regime transitions cause price shocks by Lim, Andrew E.B., Watewai, Thaisiri

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  4. 4
    A benchmarking approach to optimal asset allocation for insurers and pension funds

    A benchmarking approach to optimal asset allocation for insurers and pension funds by Lim, Andrew E.B., Wong, Bernard

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  5. 5
    Stochastic optimal LQR control with integral quadratic constraints and indefinite control weights

    Stochastic optimal LQR control with integral quadratic constraints and indefinite control weights by Lim, A.E.B., Xun Yu Zhou

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  6. 6
    Optimal risk transfer for agents with germs

    Optimal risk transfer for agents with germs by Li, Peng, Lim, Andrew E.B., Shanthikumar, J. George

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  7. 7
    Solutions to the combined sensitivity and complementary sensitivity problem in control systems

    Solutions to the combined sensitivity and complementary sensitivity problem in control systems by Lim, A.E.B., Wei-Yong Yan, Teo, K.L.

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  8. 8
    Mean-variance portfolio selection via LQ optimal control

    Mean-variance portfolio selection via LQ optimal control by Lim, A.E.B., Xun Yu Zhou

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  9. 9
    Optimal control with HARA utility functions

    Optimal control with HARA utility functions by Lim, A.E.B., Xun Yu Zhou

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  10. 10
    Optimal control of backward stochastic differential equations: The linear-quadratic case

    Optimal control of backward stochastic differential equations: The linear-quadratic case by Lim, A.E.B., Xun Yu Zhou

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  11. 11
    Risk-sensitive sensor scheduling for discrete-time nonlinear systems

    Risk-sensitive sensor scheduling for discrete-time nonlinear systems by Lim, A.E.B., Krishnamurthy, V.

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  12. 12
    Multiple objective risk-sensitive control and stochastic differential games

    Multiple objective risk-sensitive control and stochastic differential games by Lim, A.E.B., Zhou, X.Y., Moore, J.B.

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  13. 13
    A quasi-separation theorem for LQG optimal control with IQ constraints

    A quasi-separation theorem for LQG optimal control with IQ constraints by Lim, A.E.B., Moore, J.B.

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  14. 14
    Separation theorem for linearly constrained LQG optimal control - a continuous time case

    Separation theorem for linearly constrained LQG optimal control - a continuous time case by Lim, A.E.B., Moore, J.B., Faybusovich, L.

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  15. 15
    A new approach to pricing American-style derivatives

    A new approach to pricing American-style derivatives by Laprise, S.B., Fu, M.C., Marcus, S.I., Lim, A.E.B.

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