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~isPartOf:"Insurance / Mathematics & economics"
~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~isPartOf:"Scandinavian actuarial journal"
~subject:"stochastic optimal control"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Optimal control problem"
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stochastic optimal control
Control theory
94
Kontrolltheorie
94
Stochastic process
67
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67
Portfolio selection
54
Portfolio-Management
54
Mathematical programming
23
Mathematische Optimierung
23
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19
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Reinsurance
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Rückversicherung
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stochastic control
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Bender, Christian
2
Dokučaev, Nikolaj G.
2
Cartea, Álvaro
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Chen, Zhiping
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Cui, Xiangyu
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Guéant, Olivier
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Han, Xia
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Imkeller, Peter
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Jaimungal, Sebastian
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Lehalle, Charles-Albert
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Insurance / Mathematics & economics
International journal of theoretical and applied finance
Mathematical finance : an international journal of mathematics, statistics and financial theory
Scandinavian actuarial journal
Applied mathematical finance
4
Risks : open access journal
4
Operations research
3
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2
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IMA journal of management mathematics
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LogForum : elektroniczne czasopismo naukowe z dziedziny logistyki
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Mathematics of operations research
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ECONIS (ZBW)
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1
Equilibrium reinsurance strategies for n insurers under a unified competition and cooperation framework
Yang, Peng
;
Chen, Zhiping
;
Cui, Xiangyu
- In:
Scandinavian actuarial journal
2021
(
2021
)
10
,
pp. 969-997
Persistent link: https://www.econbiz.de/10012696897
Saved in:
2
Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure
Han, Xia
;
Liang, Zhibin
;
Yuen, Kam Chuen
- In:
Scandinavian actuarial journal
(
2018
)
10
,
pp. 863-889
Persistent link: https://www.econbiz.de/10011939763
Saved in:
3
A first-order BSPDE for swing option pricing : classical solutions
Bender, Christian
;
Dokučaev, Nikolaj G.
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 902-925
Persistent link: https://www.econbiz.de/10011764986
Saved in:
4
Algorithmic trading with learning
Cartea, Álvaro
;
Jaimungal, Sebastian
;
Kinzebulatov, Damir
- In:
International journal of theoretical and applied finance
19
(
2016
)
4
,
pp. 1-30
Persistent link: https://www.econbiz.de/10011523847
Saved in:
5
A first-order BSPDE for swing option pricing
Bender, Christian
;
Dokučaev, Nikolaj G.
- In:
Mathematical finance : an international journal of …
26
(
2016
)
3
,
pp. 461-491
Persistent link: https://www.econbiz.de/10011583530
Saved in:
6
General intensity shapes in optimal liquidation
Guéant, Olivier
;
Lehalle, Charles-Albert
- In:
Mathematical finance : an international journal of …
25
(
2015
)
3
,
pp. 457-495
Persistent link: https://www.econbiz.de/10011350585
Saved in:
7
Solvability and numerical simulation of BSDEs related to BSPDEs with applications to utility maximization
Imkeller, Peter
;
Réveillac, Anthony
;
Zhang, Jianing
- In:
International journal of theoretical and applied finance
14
(
2011
)
5
,
pp. 635-667
Persistent link: https://www.econbiz.de/10009298518
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