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81.
This paper investigates the investment-dividend
optimization problem for a corporation with transaction costs and investment
constraints. The main feature is that we assume general constraints on
investments including the special case of short-sale and borrowing constraints.
This results in a regular-impulse stochastic control problem. The nontrivial
case is that the investment can't meet the loss of wealth due to discounting.
In this case, delicate analysis is carried out on QVI w.r.t. three possible
situations, leading to an explicit construction of the value functions
together with the optimal policies. We also give explicit conclusion of the
trivial case at last. 相似文献
82.
Waiting has been a significant concern for healthcare services. We address this issue in the context of a two‐tier service system in this study. A two‐tier healthcare service system consists of two different service providers, typically one public service provider and one private service provider. In a baseline model, the two service providers are modeled by two queue servers, which charge each patient a common fixed fee for the service. Then, we study a queue model in which one service provider offers a subsidy or charges a premium while the other maintains the fixed service fee. This system provides a mechanism to segment patients along their waiting time cost through price discrimination. We analyze the problem from both the perspective of minimizing total waiting cost for all patients and the perspective of maximizing social gain for the public service provider or profit for the private service provider. We show that this model can significantly alleviate the burden of waiting for patients. The study addresses the design, the efficiency, and the implementation of two‐tier healthcare service systems. Copyright © 2017 John Wiley & Sons, Ltd. 相似文献
83.
CEV和B&P作用下带交易费的亚式期权定价模型 总被引:1,自引:0,他引:1
基于B-S定价模型的基础,利用Ito公式及保值策略,研究了股票价格服从CEV模型和B&P过程且存在交易费用的亚式期权的定价模型.得出了该类期权价格所满足的微分方程,并对模型做了数值分析.结论拓宽了亚式期权的研究范围,更适用于实际金融市场. 相似文献
84.
We consider the problem of portfolio optimization under VaR risk measure taking into account transaction costs. Fixed costs as well as impact costs as a nonlinear function of trading activity are incorporated in the optimal portfolio model. Thus the obtained model is a nonlinear optimization problem with nonsmooth objective function. The model is solved by an iterative method based on a smoothing VaR technique. We prove the convergence of the considered iterative procedure and demonstrate the nontrivial influence of transaction costs on the optimal portfolio weights. 相似文献
85.
The stochastic transportation problem with single sourcing 总被引:1,自引:0,他引:1
We propose a branch-and-price algorithm for solving a class of stochastic transportation problems with single-sourcing constraints. Our approach allows for general demand distributions, nonlinear cost structures, and capacity expansion opportunities. The pricing problem is a knapsack problem with variable item sizes and concave costs that is interesting in its own right. We perform an extensive set of computational experiments illustrating the efficacy of our approach. In addition, we study the cost of the single-sourcing constraints. 相似文献
86.
87.
An existence-uniqueness theorem is proved about a minimum cost order for a class of inventory models whose holding costs grow according to a stock level power law. The outcomes of Mingari Scarpello and Ritelli (2008) [1] are then extended to different environments: i.e., when the holding costs change during time generalizing a model available in Weiss (1982) [11], or with invariable holding costs but adopting a backordering strategy. Application cases are provided assuming several functional behaviors of demand versus the stock level. 相似文献
88.
Abstract Portfolio theory covers different approaches to the construction of a portfolio offering maximum expected returns for a given level of risk tolerance where the goal is to find the optimal investment rule. Each investor has a certain utility for money which is reflected by the choice of a utility function. In this article, a risk averse power utility function is studied in discrete time for a large class of underlying probability distribution of the returns of the asset prices. Each investor chooses, at the beginning of an investment period, the feasible portfolio allocation which maximizes the expected value of the utility function for terminal wealth. Effects of both large and small proportional transaction costs on the choice of an optimal portfolio are taken into account. The transaction regions are approximated by using asymptotic methods when the proportional transaction costs are small and by using expansions about critical points for large transaction costs. 相似文献
89.
Lorenzo Torricelli 《Applied Mathematical Finance》2013,20(3):213-246
ABSTRACTA target volatility strategy (TVS) is a risky asset-riskless bond dynamic portfolio allocation which makes use of the risky asset historical volatility as an allocation rule with the aim of maintaining the instantaneous volatility of the investment constant at a target level. In a market with stochastic volatility, we consider a diffusion model for the value of a target volatility fund (TVF) which employs a system of stochastic delayed differential equations (SDDEs) involving the asset realized variance. First we prove that under some technical assumptions, contingent claim valuation on a TVF is approximately of Black-Scholes type, which is consistent with and supports the standing market practice. In second place, we develop a computational framework using recent results on Markovian approximations of SDDEs systems, which we then implement in the Heston variance model using an ad hoc Euler scheme. Our framework allows for efficient numerical valuation of derivatives on TVFs, whose typical purpose is the assessment of the guarantee costs of such funds for insurers. 相似文献
90.
Abstract In this paper, a numerical model is developed for analyzing the role of species life history and age structure for the optimal management of a commercial resident species that is exposed to an invasive species. It is shown that reproduction and mortality characteristics of both species ands age structure of the invader at the time of invasion are important for the costs of invasions when the invader and resident species compete for scarce resources. Commercially harvested species with low juvenile survival and high reproduction are found to be economically more robust against invasions. Species with these life‐history traits are also the most damaging as invaders. Properties of the harvesting cost function and the discount rate are shown to be of importance for the development of the invader population over time. Hence, it is possible to identify specific combinations of life‐history characteristics and economic conditions under which invasions cause particularly large economic damage. 相似文献