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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

A new method of proving structural properties for certain class of stochastic dynamic control problems

Zhuang, Weifen; Li, Michael Zhi-feng - In: Operations research letters 38 (2010) 5, pp. 462-467

Persistent link: https://www.econbiz.de/10008658770

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

Performance analysis of linear and nonlinear techniques for automatic scaling of discretized control problems

Sagliano, Marco - In: Operations research letters 42 (2014) 3, pp. 213-216

Persistent link: https://www.econbiz.de/10010383188

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

Optimal control strategies for the premium policy of an insurance firm with jump diffusion assets and stochastic interest rate

Guerdouh, Dalila; Khelfallah, Nabil; Vives, Josep - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-19

In this paper, we present a stochastic optimal control model to optimize an insurance firm problem in the case where its cash-balance process is assumed to be described by a stochastic differential equation driven by Teugels martingales. Noticing that the insurance firm is able to control its...

Persistent link: https://www.econbiz.de/10013165295