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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

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

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

Forest of stochastic trees: a method for valuing multiple exercise options

Reesor, R. Mark; Marshall, T. James - In: Journal of risk and financial management : JRFM 13 (2020) 5/95, pp. 1-31

We present the Forest of Stochastic Trees (FOST) method for pricing multiple exercise options by simulation. The proposed method uses stochastic trees in place of binomial trees in the Forest of Trees algorithm originally proposed to value swing options, hence extending that method to allow for...

Persistent link: https://www.econbiz.de/10012304872

Optimal investment and consumption for financial markets with jumps under transaction costs

Egorov, Sergei; Pergamenchtchikov, Serguei - In: Finance and stochastics 28 (2024) 1, pp. 123-159

Persistent link: https://www.econbiz.de/10014447608