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Continuous-time perpetuities and time reversal of diffusions
Kardaras, Constantinos; Robertson, Scott - In: Finance and stochastics 21 (2017) 1, pp. 65-110
Persistent link: https://www.econbiz.de/10011944065
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Endogenous current coupons
Cheng, Zhe; Robertson, Scott - In: Finance and stochastics 21 (2017) 4, pp. 1027-1071
Persistent link: https://www.econbiz.de/10011944474
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Abstract, classic, and explicit turnpikes
Guasoni, Paolo; Kardaras, Constantinos; Robertson, Scott; … - In: Finance and stochastics 18 (2014) 1, pp. 75-114
Persistent link: https://www.econbiz.de/10010235457
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Optimal importance sampling with explicit formulas in continuous time
Guasoni, Paolo; Robertson, Scott - In: Finance and stochastics 12 (2008) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10003592542
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Optimal importance sampling with explicit formulas in continuous time
Guasoni, Paolo; Robertson, Scott - In: Finance and stochastics 12 (2008) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10008221431