Class information for:
Level 1: SINGULAR STOCHASTIC CONTROL//PAIRS TRADING//OPTIMAL STOPPING

Basic class information
Class id #P Avg. number of
references		 Database coverage
of references
19552 500 20.7 38%


Bar chart of Publication_year

Last years might be incomplete

Hierarchy of classes
The table includes all classes above and classes immediately below the current class.


Cluster id Level Cluster label #P
1 4 ECONOMICS//EDUCATION & EDUCATIONAL RESEARCH//PSYCHOL 3876184
67 3       ECONOMICS//BUSINESS, FINANCE//ECON 84262
755 2             BACKWARD STOCHASTIC DIFFERENTIAL EQUATION//OPTION PRICING//REAL OPTIONS 12405
19552 1                   SINGULAR STOCHASTIC CONTROL//PAIRS TRADING//OPTIMAL STOPPING 500

Terms with highest relevance score


rank Term termType Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with
term in
class
1 SINGULAR STOCHASTIC CONTROL authKW 1283186 8% 51% 41
2 PAIRS TRADING authKW 787981 4% 65% 20
3 OPTIMAL STOPPING authKW 405954 14% 10% 69
4 REVERSIBLE INVESTMENT authKW 314071 1% 86% 6
5 SELLING RULE authKW 305348 1% 100% 5
6 SINGULAR CONTROL authKW 285946 5% 20% 24
7 OPTIMAL SWITCHING authKW 249348 3% 29% 14
8 MEAN REVERTING PROCESS authKW 234871 2% 38% 10
9 SMOOTH FIT authKW 224837 2% 41% 9
10 SMOOTH FIT PRINCIPLE authKW 218103 1% 71% 5

Web of Science journal categories


Rank Term Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with
term in
class
1 Mathematics, Applied 7786 49% 0% 247
2 Automation & Control Systems 5468 22% 0% 109
3 Statistics & Probability 3209 20% 0% 99
4 Operations Research & Management Science 2467 16% 0% 81
5 Social Sciences, Mathematical Methods 1639 7% 0% 36
6 Business, Finance 1532 8% 0% 42
7 Mathematics, Interdisciplinary Applications 532 8% 0% 39
8 Mathematics 476 15% 0% 73
9 Economics 427 11% 0% 54
10 Computer Science, Information Systems 29 3% 0% 13

Address terms


Rank Term Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with
term in
class
1 DIPARTIMENTO MATEMAT DEC ECON FINANZ ASSIC 81425 0% 67% 2
2 BNP PARIBAS CIB OURCE PORTFOLIO MANAGEMENT 61070 0% 100% 1
3 DAIWA FINANCIAL ENGN 61070 0% 100% 1
4 DEGLI STUDI 61070 0% 100% 1
5 DIPARTIMENTO METOD MODELL MATEMAT SCI PLICATE 61070 0% 100% 1
6 GLOBAL MARKETS EQUIT 61070 0% 100% 1
7 GRA RMT MODEL VALIDAT RATES 61070 0% 100% 1
8 PORTFOLIO CONSULTING 61070 0% 100% 1
9 QUANT ALTERNAT 61070 0% 100% 1
10 QUANT INVESTMENT TEAM 61070 0% 100% 1

Journals


Rank Term Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with
term in
class
1 SIAM JOURNAL ON CONTROL AND OPTIMIZATION 99487 15% 2% 77
2 APPLIED MATHEMATICS AND OPTIMIZATION 28903 5% 2% 23
3 STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC REPORTS 12997 1% 3% 7
4 MATHEMATICS OF OPERATIONS RESEARCH 11677 4% 1% 19
5 ANNALS OF APPLIED PROBABILITY 6934 3% 1% 13
6 MATHEMATICAL CONTROL AND RELATED FIELDS 6594 1% 3% 4
7 SIAM JOURNAL ON FINANCIAL MATHEMATICS 6432 1% 2% 5
8 ABEL SYMPOSIA 5904 2% 1% 10
9 QUANTITATIVE FINANCE 5715 2% 1% 11
10 MATHEMATICAL METHODS OF OPERATIONS RESEARCH 4865 2% 1% 9

Author Key Words


Rank Term Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with
term in
class		 LCSH search Wikipedia search
1 SINGULAR STOCHASTIC CONTROL 1283186 8% 51% 41 Search SINGULAR+STOCHASTIC+CONTROL Search SINGULAR+STOCHASTIC+CONTROL
2 PAIRS TRADING 787981 4% 65% 20 Search PAIRS+TRADING Search PAIRS+TRADING
3 OPTIMAL STOPPING 405954 14% 10% 69 Search OPTIMAL+STOPPING Search OPTIMAL+STOPPING
4 REVERSIBLE INVESTMENT 314071 1% 86% 6 Search REVERSIBLE+INVESTMENT Search REVERSIBLE+INVESTMENT
5 SELLING RULE 305348 1% 100% 5 Search SELLING+RULE Search SELLING+RULE
6 SINGULAR CONTROL 285946 5% 20% 24 Search SINGULAR+CONTROL Search SINGULAR+CONTROL
7 OPTIMAL SWITCHING 249348 3% 29% 14 Search OPTIMAL+SWITCHING Search OPTIMAL+SWITCHING
8 MEAN REVERTING PROCESS 234871 2% 38% 10 Search MEAN+REVERTING+PROCESS Search MEAN+REVERTING+PROCESS
9 SMOOTH FIT 224837 2% 41% 9 Search SMOOTH+FIT Search SMOOTH+FIT
10 SMOOTH FIT PRINCIPLE 218103 1% 71% 5 Search SMOOTH+FIT+PRINCIPLE Search SMOOTH+FIT+PRINCIPLE

Core articles
The table includes core articles in the class. The following variables is taken into account for the relevance score of an article in a cluster c:
(1) Number of references referring to publications in the class.
(2) Share of total number of active references referring to publications in the class.
(3) Age of the article. New articles get higher score than old articles.
(4) Citation rate, normalized to year.


Rank Reference # ref.
in cl.		 Shr. of ref. in
cl.		 Citations
1 FERRARI, G , (2015) ON AN INTEGRAL EQUATION FOR THE FREE-BOUNDARY OF STOCHASTIC, IRREVERSIBLE INVESTMENT PROBLEMS.ANNALS OF APPLIED PROBABILITY. VOL. 25. ISSUE 1. P. 150 -176 18 86% 1
2 MATOMAKI, P , (2012) ON SOLVABILITY OF A TWO-SIDED SINGULAR CONTROL PROBLEM.MATHEMATICAL METHODS OF OPERATIONS RESEARCH. VOL. 76. ISSUE 3. P. 239-271 21 72% 3
3 HELMES, KL , STOCKBRIDGE, RH , ZHU, C , (2015) A MEASURE APPROACH FOR CONTINUOUS INVENTORY MODELS: DISCOUNTED COST CRITERION.SIAM JOURNAL ON CONTROL AND OPTIMIZATION. VOL. 53. ISSUE 4. P. 2100 -2140 17 81% 0
4 GUO, X , TOMECEK, P , (2009) A CLASS OF SINGULAR CONTROL PROBLEMS AND THE SMOOTH FIT PRINCIPLE.SIAM JOURNAL ON CONTROL AND OPTIMIZATION. VOL. 47. ISSUE 6. P. 3076 -3099 19 79% 5
5 GUO, X , TOMECEK, P , (2008) A CLASS OF SINGULAR CONTROL PROBLEMS AND THE SMOOTH FIT PRINCIPLE.SIAM JOURNAL ON CONTROL AND OPTIMIZATION. VOL. 47. ISSUE 6. P. 3076 -3099 19 79% 5
6 ZERVOS, M , JOHNSON, TC , ALAZEMI, F , (2013) BUY-LOW AND SELL-HIGH INVESTMENT STRATEGIES.MATHEMATICAL FINANCE. VOL. 23. ISSUE 3. P. 560-578 15 79% 6
7 DE ANGELIS, T , FERRARI, G , MORIARTY, J , (2015) A NONCONVEX SINGULAR STOCHASTIC CONTROL PROBLEM AND ITS RELATED OPTIMAL STOPPING BOUNDARIES.SIAM JOURNAL ON CONTROL AND OPTIMIZATION. VOL. 53. ISSUE 3. P. 1199 -1223 14 82% 0
8 FEDERICO, S , PHAM, H , (2014) CHARACTERIZATION OF THE OPTIMAL BOUNDARIES IN REVERSIBLE INVESTMENT PROBLEMS.SIAM JOURNAL ON CONTROL AND OPTIMIZATION. VOL. 52. ISSUE 4. P. 2180 -2223 16 73% 1
9 SUZUKI, K , (2016) OPTIMAL SWITCHING STRATEGY OF A MEAN-REVERTING ASSET OVER MULTIPLE REGIMES.AUTOMATICA. VOL. 67. ISSUE . P. 33 -45 16 70% 0
10 ALVAREZ, LHR , LEMPA, J , (2008) ON THE OPTIMAL STOCHASTIC IMPULSE CONTROL OF LINEAR DIFFUSIONS.SIAM JOURNAL ON CONTROL AND OPTIMIZATION. VOL. 47. ISSUE 2. P. 703 -732 17 74% 11

Classes with closest relation at Level 1


Rank Class id link
1 28764 MULTIVALUED STOCHASTIC DIFFERENTIAL EQUATION//REFLECTED STOCHASTIC DIFFERENTIAL EQUATION//MEAN DERIVATIVES
2 22169 SKOROKHOD EMBEDDING PROBLEM//MAXIMUM PROCESS//SKOROKHOD EMBEDDING
3 5588 BACKWARD STOCHASTIC DIFFERENTIAL EQUATION//FORWARD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS//G EXPECTATION
4 7689 AMERICAN OPTIONS//OPTION PRICING//BLACK SCHOLES EQUATION
5 7755 OPTIMAL INVESTMENT//PROPORTIONAL REINSURANCE//INSURANCE MATHEMATICS & ECONOMICS
6 6283 REAL OPTIONS//INVESTMENT UNDER UNCERTAINTY//INVESTMENT TIMING
7 6857 FINANCE AND STOCHASTICS//INCOMPLETE MARKETS//FUNDAMENTAL THEOREM OF ASSET PRICING
8 5572 HAMILTON JACOBI EQUATION//VISCOSITY SOLUTIONS//VISCOSITY SOLUTION
9 21257 STOCHASTIC GAMES//UNIFORM VALUE//DYNKIN GAMES
10 9283 OPTIMAL STATIONARY POLICY//CONTINUOUS TIME MARKOV DECISION PROCESS//ESTADIST CALCULO

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