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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

E-monotone Fourier methods for optimal stochastic control in finance

Forsyth, Peter A.; Labahn, George - In: The journal of computational finance 22 (2018/2019) 4, pp. 25-71

Persistent link: https://www.econbiz.de/10012042218

Incorporating signals into optimal trading

Lehalle, Charles-Albert; Neuman, Eyal - In: Finance and stochastics 23 (2019) 2, pp. 275-311

Persistent link: https://www.econbiz.de/10012023738

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

The two-dimensional tree-grid method

Kossaczký, Igor; Ehrhardt, Matthias; Günther, Michael - In: The journal of computational finance 23 (2019) 2, pp. 29-57

Persistent link: https://www.econbiz.de/10012111259

Multi-dimensional optimal trade execution under stochastic resilience

Horst, Ulrich; Xia, Xiaonyu - In: Finance and stochastics 23 (2019) 4, pp. 889-923

Persistent link: https://www.econbiz.de/10012114663

Dynamic programming approach to principal-agent problems

Cvitanić, Jakša; Possamaï, Dylan; Touzi, Nizar - In: Finance and stochastics 22 (2018) 1, pp. 1-37

Persistent link: https://www.econbiz.de/10011945612

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