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Representation formulas for Malliavin derivatives of diffusion processes
Detemple, Jérôme B.; Garcia, René; Rindisbacher, Marcel - In: Finance and stochastics 9 (2005) 3, pp. 349-367
Persistent link: https://www.econbiz.de/10002946698
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Optimizing the terminal wealth under partial information : the drift process as a continuous time markov chain
Sass, Jörn; Haussmann, Ulrich G. - In: Finance and stochastics 8 (2004) 4, pp. 553-577
Persistent link: https://www.econbiz.de/10002261492
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A link between complete models with stochastic volatility and ARCH models
Jeantheau, Thierry - In: Finance and stochastics 8 (2004) 1, pp. 111-131
Persistent link: https://www.econbiz.de/10001910769
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Stationary discounted and ergodic mean field games with singular controls
Cao, Haoyang; Dianetti, Jodi; Ferrari, Giorgio - In: Mathematics of operations research 48 (2023) 4, pp. 1871-1898
Persistent link: https://www.econbiz.de/10014437738
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Scheduling in the high-uncertainty heavy traffic regime
Atar, Rami; Castiel, Eyal; Shadmi, Yonatan - In: Mathematics of operations research 50 (2025) 1, pp. 107-140
Persistent link: https://www.econbiz.de/10015211579
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Fluctuation theory of continuous-time, skip-free downward Markov chains with applications to branching processes with immigration
Loeffen, Ronnie; Patie, Pierre; Wang, Jian - In: Mathematics of operations research 50 (2025) 1, pp. 169-188
Persistent link: https://www.econbiz.de/10015211653
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Strongly convergent homogeneous approximations to inhomogeneous Markov jump processes and applications
Bladt, Martin; Peralta, Oscar - In: Mathematics of operations research 50 (2025) 1, pp. 334-355
Persistent link: https://www.econbiz.de/10015211698
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A policy gradient algorithm for the risk-sensitive exponential cost MDP
Moharrami, Mehrdad; Murthy, Yashaswini; Roy, Arghyadip; … - In: Mathematics of operations research 50 (2025) 1, pp. 431-458
Persistent link: https://www.econbiz.de/10015211728
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Exact characterization of the jointly optimal restocking and auditing policy in inventory systems with record inaccuracy
Chehrazi, Naveed - In: Mathematics of operations research 50 (2025) 1, pp. 656-710
Persistent link: https://www.econbiz.de/10015211759
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A high-low-based omnibus test for symmetry, the Lévy property, and other hypotheses on intraday returns
Klößner, Stefan - In: Finance and stochastics 14 (2010) 1, pp. 1-12
Persistent link: https://www.econbiz.de/10003924780