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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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Worst case model risk management
Talay, Denis; Zheng, Ziyu - In: Finance and stochastics 6 (2002) 4, pp. 517-537
Persistent link: https://www.econbiz.de/10001702790
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Proving regularity of the minimal probability of ruin via a game of stopping and control
Bayraktar, Erhan; Young, Virginia R. - In: Finance and stochastics 15 (2011) 4, pp. 785-818
Persistent link: https://www.econbiz.de/10009423263
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Present-biased lobbyists in linear-quadratic stochastic differential games
Lazrak, Ali; Wang, Hanxiao; Yong, Jiongmin - In: Finance and stochastics 27 (2023) 4, pp. 947-984
Persistent link: https://www.econbiz.de/10014426401
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Dynamic credit investment in partially observed markets
Capponi, Agostino; Figueroa-López, José E.; Pascucci, … - In: Finance and stochastics 19 (2015) 4, pp. 891-939
Persistent link: https://www.econbiz.de/10011421091
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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
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Long run forward rates and long yields of bonds and options in heterogeneous equilibria
Malamud, Semyon - In: Finance and stochastics 12 (2008) 2, pp. 245-264
Persistent link: https://www.econbiz.de/10003716265
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Background filtrations and canonical loss processes for top-down models of portfolio credit risk
Ehlers, Philippe; Schönbucher, Philipp J. - In: Finance and stochastics 13 (2009) 1, pp. 79-103
Persistent link: https://www.econbiz.de/10003939478
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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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Liquidity risk, price impacts and the replication problem
Roch, Alexandre F. - In: Finance and stochastics 15 (2011) 3, pp. 399-419
Persistent link: https://www.econbiz.de/10009303238