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A remark on smooth solutions to a stochastic control problem with a power terminal cost function and stochastic volatilities
Aktar, Yalçin; Taflin, Erik - In: Mathematics and financial economics 8 (2014) 4, pp. 489-509
Persistent link: https://www.econbiz.de/10010491879
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On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration
Backhoff-Veraguas, Julio; Tangpi, Ludovic - In: Mathematics and financial economics 14 (2020) 3, pp. 433-460
Persistent link: https://www.econbiz.de/10012240302
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Optimal entry to an irreversible investment plan with non convex costs
De Angelis, Tiziano; Ferrari, Giorgio; Martyr, Randall; … - In: Mathematics and financial economics 11 (2017) 4, pp. 423-454
Persistent link: https://www.econbiz.de/10011900577
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On the use and improvement of Hull and White's control variate technique
Chung, San-Lin; Shackleton, Mark B. - In: Applied financial economics 15 (2005) 16, pp. 1171-1179
Persistent link: https://www.econbiz.de/10003213709