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American and European options in multi-factor jump-diffusion models, near expiry
Levendorskij, Sergej Z. - In: Finance and stochastics 12 (2008) 4, pp. 541-560
Persistent link: https://www.econbiz.de/10003899270
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Consumption-portfolio optimization with recursive utility in incomplete markets
Kraft, Holger; Seifried, Frank Thomas; Steffensen, Mogens - In: Finance and stochastics 17 (2013) 1, pp. 161-196
Persistent link: https://www.econbiz.de/10009682287
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Reinforcement learning and stochastic optimisation
Jaimungal, Sebastian - In: Finance and stochastics 26 (2022) 1, pp. 103-129
Persistent link: https://www.econbiz.de/10012796477
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Optimal liquidation under stochastic liquidity
Becherer, Dirk; Bilarev, Todor; Frentrup, Peter - In: Finance and stochastics 22 (2018) 1, pp. 39-68
Persistent link: https://www.econbiz.de/10011945624
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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
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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
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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
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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
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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
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Asymptotic arbitrage and numéraire portfolios in large financial markets
Rochlin, Dmitri B. - In: Finance and stochastics 12 (2008) 2, pp. 173-194
Persistent link: https://www.econbiz.de/10003716254