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A computational method for stochastic impulse control problems

Feng, Haolin; Muthuraman, Kumar - In: Mathematics of operations research 35 (2010) 4, pp. 830-850

Persistent link: https://www.econbiz.de/10008823135

A risk-sensitive stochastic control approach to an optimal investment problem with partial information

Hata, Hiroaki; Iida, Yasunari - In: Finance and stochastics 10 (2006) 3, pp. 395-426

Persistent link: https://www.econbiz.de/10003380023

Pension funds with a minimum guarantee : a stochastic control approach

Di Giacinto, Marina; Federico, Salvatore; Gozzi, Fausto - In: Finance and stochastics 15 (2011) 2, pp. 297-342

Persistent link: https://www.econbiz.de/10009159089

A stochastic control problem with delay arising in a pension fund model

Federico, Salvatore - In: Finance and stochastics 15 (2011) 3, pp. 421-459

Persistent link: https://www.econbiz.de/10009303232

Utility maximization with current utility on the wealth : regularity of solutions to the HJB equation

Federico, Salvatore; Gassiat, Paul; Gozzi, Fausto - In: Finance and stochastics 19 (2015) 2, pp. 415-448

Persistent link: https://www.econbiz.de/10011418169

An optimal consumption problem in finite time with a constraint on the ruin probability

Grandits, Peter - In: Finance and stochastics 19 (2015) 4, pp. 791-847

Persistent link: https://www.econbiz.de/10011421027

Optimal control of a Brownian production/inventory system with average cost criterion

Wu, Jingchen; Chao, Xiuli - In: Mathematics of operations research 39 (2014) 1, pp. 163-189

Persistent link: https://www.econbiz.de/10010345217

Risk management of interest rate derivative portfolios : a stochastic control approach

Kiriakopoulos, Konstantinos; Koulis, Alexandros - In: Journal of risk and financial management : JRFM 7 (2014) 4, pp. 130-149

In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic portfolio optimization problem. The utility that we use can be any continuous function and based on the viscosity theory, the unique solution of the problem is guaranteed. The...

Persistent link: https://www.econbiz.de/10011552973

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

An explicit solution of a nonlinear-quadratic constrained stochastic control problem with jumps : optimal liquidation in dark pools with adverse selection

Kratz, Peter - In: Mathematics of operations research 39 (2014) 4, pp. 1198-1220

Persistent link: https://www.econbiz.de/10010462146