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Search: subject:"Viscosity solutions"
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viscosity solutions
53
Viscosity solutions
30
Viscosity Solutions
19
Theorie
17
Theory
17
Asset and Liability Management
16
Benchmarked Asset Management
16
Classical Solutions
16
Dynamic Investment Management
16
Hamilton–Jacobi–Bellman Equations
16
Jump Diffusion Processes
16
Kelly Criterion
16
Lévy Processes
16
Portfolio selection
16
Risk Sensitive Control
16
Stochastic Control
16
Portfolio-Management
15
Stochastic process
15
Stochastischer Prozess
15
Transaction costs
12
Mathematical programming
9
Mathematische Optimierung
9
Control theory
7
Game theory
7
Kontrolltheorie
7
Spieltheorie
7
Hamilton-Jacobi-Bellman equation
5
Transaktionskosten
5
dynamic programming
5
hedging options
5
optimal control
5
stochastic control
5
variational inequalities
5
Differential games
4
Dynamic programming
4
Optimal execution
4
Super-replication
4
option pricing
4
portfolio constraints
4
stochastic optimal control
4
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Undetermined
74
Free
16
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Article
84
Book / Working Paper
29
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Article in journal
35
Aufsatz in Zeitschrift
35
Working Paper
4
Arbeitspapier
1
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1
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Undetermined
65
English
48
Author
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Lleo, Sébastien
17
Davis, Mark H. A.
16
Touzi, Nizar
11
Bouchard, Bruno
10
Gozzi, Fausto
6
Zariphopoulou, Thaleia
5
Bentahar, Imen
4
Federico, Salvatore
4
Muhle-Karbe, Johannes
4
Soner, Halil Mete
4
Tourin, Agnès
4
Bagagiolo, Fabio
3
Ben Tahar, Imen
3
Gassiat, Paul
3
Guéant, Olivier
3
Pham, Huyên
3
Soner, H. Mete
3
Aivaliotis, Georgios
2
Altarovici, Albert
2
Andrzej ŚwiechRID="*"ID="*" Andrzej
2
Astic, Fabian
2
Baccarin, Stefano
2
Barles, Guy
2
Bauso, Dario
2
Campi, Luciano
2
Chevalier, Etienne
2
Cretarola, Alessandra
2
DMS-9706760, ch was partially supported by NSF grant
2
Fabbri, Giorgio
2
Fahim, Arash
2
Gatarek, Dariusz
2
Hodder, James E.
2
Kato, Takashi
2
Korn, Ralf
2
Ly Vath, Vathana
2
Mnif, Mohamed
2
Moreau, Ludovic
2
Palczewski, Jan
2
Sacute
2
Tankov, Peter
2
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Institution
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Université Paris-Dauphine (Paris IX)
12
Université Paris-Dauphine
3
HAL
2
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
2
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
2
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
1
Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche, Università degli Studi di Torino
1
London School of Economics (LSE)
1
World Scientific Publishing Co. Pte. Ltd.
1
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Published in...
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Risk-Sensitive Investment Management
15
Economics Papers from University Paris Dauphine
12
Finance and Stochastics
12
Dynamic games and applications : DGA
5
Finance and stochastics
5
Computational Statistics
4
International journal of theoretical and applied finance
4
Mathematical Methods of Operations Research
4
Applied mathematical finance
3
Mathematical finance : an international journal of mathematics, statistics and financial theory
3
Open Access publications from Université Paris-Dauphine
3
Stochastic Processes and their Applications
3
European Journal of Operational Research
2
European journal of operational research : EJOR
2
International Journal of Theoretical and Applied Finance (IJTAF)
2
MPRA Paper
2
Mathematical finance : an international journal of mathematics, statistics and financial economics
2
Mathematics of operations research
2
SFB 649 Discussion Paper
2
SFB 649 Discussion Papers
2
CORE Discussion Papers
1
Dynamic Games and Applications
1
Economic theory
1
IMA journal of management mathematics
1
International Journal of Game Theory
1
International game theory review
1
Journal of Global Optimization
1
LSE Research Online Documents on Economics
1
Mathematical Population Studies
1
Mathematical methods of operations research
1
Mathematical methods of operations research : ZOR
1
Mathematics and financial economics
1
OR spectrum : quantitative approaches in management
1
Post-Print / HAL
1
Quantitative finance
1
Research paper series / Swiss Finance Institute
1
Risk management decisions and value under uncertainty
1
Statistics & Probability Letters
1
Statistics & Risk Modeling
1
Swiss Finance Institute Research Paper
1
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Source
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RePEc
72
ECONIS (ZBW)
37
EconStor
3
Other ZBW resources
1
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1
A simple planning problem for COVID-19 lockdown : a dynamic programming approach
Calvia, Alessandro
;
Gozzi, Fausto
;
Lippi, Francesco
; …
- In:
Economic theory
77
(
2024
)
1/2
,
pp. 169-196
Persistent link: https://www.econbiz.de/10014552687
Saved in:
2
Algorithmic market making in dealer markets with hedging and market impact
Barzykin, Alexander
;
Bergault, Philippe
;
Guéant, Olivier
- In:
Mathematical finance : an international journal of …
33
(
2023
)
1
,
pp. 41-79
Persistent link: https://www.econbiz.de/10014278660
Saved in:
3
A robust consumption model when the intensity of technological progress is ambiguous
Tsujimura, Motoh
;
Yoshioka, Hidekazu
- In:
Mathematics and financial economics
17
(
2023
)
1
,
pp. 23-47
Persistent link: https://www.econbiz.de/10014226249
Saved in:
4
Optimal renewable resource harvesting model using price and biomass stochastic variations : a utility based approach
Clément, Nyassoke Titi Gaston
;
Kamdem, Jules Sadefo
; …
- In:
Mathematical methods of operations research : ZOR
95
(
2022
)
2
,
pp. 297-326
Persistent link: https://www.econbiz.de/10013454885
Saved in:
5
The Dynkin game with regime switching and applications to pricing game options
Lv, Siyu
;
Wu, Zhen
;
Zhang, Qing
- In:
Risk management decisions and value under uncertainty
,
(pp. 1159-1182)
.
2022
Persistent link: https://www.econbiz.de/10013342097
Saved in:
6
On regularized optimal execution problems and their singular limits
Souza, Max O.
;
Thamsten, Y.
- In:
Applied mathematical finance
29
(
2022
)
2
,
pp. 79-109
Persistent link: https://www.econbiz.de/10013554788
Saved in:
7
Unique ergodicity of deterministic zero-sum differential games
Hochart, Antoine
- In:
Dynamic games and applications : DGA
11
(
2021
)
1
,
pp. 109-136
Persistent link: https://www.econbiz.de/10012487920
Saved in:
8
Impact of time illiquidity in a mixed market without full observation
Federico, Salvatore
;
Gassiat, Paul
;
Gozzi, Fausto
- In:
Mathematical finance : an international journal of …
27
(
2017
)
2
,
pp. 401-437
Persistent link: https://www.econbiz.de/10011752503
Saved in:
9
A differential game with exit costs
Bagagiolo, Fabio
;
Maggistro, Rosario
;
Zoppello, Marta
- In:
Dynamic games and applications : DGA
10
(
2020
)
2
,
pp. 297-327
Persistent link: https://www.econbiz.de/10012623832
Saved in:
10
Long-time behavior of first-order mean field games on Euclidean space
Cannarsa, Piermarco
;
Cheng, Wei
;
Mendico, Cristian
; …
- In:
Dynamic games and applications : DGA
10
(
2020
)
2
,
pp. 361-390
Persistent link: https://www.econbiz.de/10012623840
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