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~person:"Murgoci, Agatha"
~person:"Strini, Josef Anton"
~subject:"Stochastischer Prozess"
~type_genre:"Article in journal"
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Stochastischer Prozess
Control theory
4
Kontrolltheorie
4
Stochastic process
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Time consistency
4
Zeitkonsistenz
4
Dynamic programming
3
Dynamische Optimierung
3
Portfolio selection
3
Portfolio-Management
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Bellman equation
2
Discounting
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Diskontierung
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Economy of time
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Hyperbolic discounting
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Intertemporal choice
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Intertemporale Entscheidung
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Stochastic control
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Time inconsistency
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Zeitökonomie
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Dividend
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Dividende
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Equilibrium
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Hamilton-Jacobi-Bellman equation
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Markov chain
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Markov-Kette
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Mathematical programming
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Mathematische Optimierung
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Mean variance
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Mean-variance
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Risikoaversion
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Risk aversion
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Ruin theory
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Time inconsistent control
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Time-inconsistent control
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dividends
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dynamic programming
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extended Hamilton-Jacobi-Bellman equation
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mean-variance
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stochastic control
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Murgoci, Agatha
Strini, Josef Anton
Björk, Tomas
3
Barari, Mahua
2
Li, Danping
2
Shapiro, Alexander
2
Wang, Rongming
2
Wei, Jiaqin
2
Ararat, Çağın
1
Backhoff-Veraguas, Julio
1
Bion-Nadal, Jocelyne
1
Chen, Zhiping
1
Cheridito, Patrick
1
Consigli, Giorgio
1
Di Corato, Luca
1
Feinstein, Zachary
1
Gupta, Brij
1
Han, Bingyan
1
Hernández, Camilo
1
Huang, Yu-Jui
1
Hult, Henrik
1
Ji, Ronglin
1
Khapko, Mariana
1
Kupper, Michael
1
Lai, Yongzeng
1
Li, Bin
1
Li, Zhongfei
1
Lin, Ling
1
Lindskog, Filip
1
Liu, Jia
1
Long, Jun
1
Mudzimbabwe, Walter
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Nedjah, Nadia
1
Nykvist, Johan
1
Pelsser, Antoon André Jean
1
Pflug, Georg
1
Pichler, Alois
1
Possamaï, Dylan
1
Pun, Chi Seng
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Finance and stochastics
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Scandinavian actuarial journal
1
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ECONIS (ZBW)
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Time-inconsistent view on a dividend problem with penalty
Strini, Josef Anton
;
Thonhauser, Stefan
- In:
Scandinavian actuarial journal
2023
(
2023
)
8
,
pp. 811-833
Persistent link: https://www.econbiz.de/10014383974
Saved in:
2
On time-inconsistent stochastic control in continuous time
Björk, Tomas
;
Khapko, Mariana
;
Murgoci, Agatha
- In:
Finance and stochastics
21
(
2017
)
2
,
pp. 331-360
Persistent link: https://www.econbiz.de/10011944378
Saved in:
3
Mean-variance portfolio optimization with state-dependent risk aversion
Björk, Tomas
;
Murgoci, Agatha
;
Zhou, Xun Yu
- In:
Mathematical finance : an international journal of …
24
(
2014
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10010256230
Saved in:
4
A theory of Markovian time-inconsistent stochastic control in discrete time
Björk, Tomas
;
Murgoci, Agatha
- In:
Finance and stochastics
18
(
2014
)
3
,
pp. 545-592
Persistent link: https://www.econbiz.de/10010396002
Saved in:
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