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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
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Pricing hydroelectric power plants with/without operational restrictions : a stochastic control approach
Chen, Zhuliang; Forsyth, Peter A. - In: Nonlinear models in mathematical finance : new research …, (pp. 273-301). 2008
Persistent link: https://www.econbiz.de/10011954476
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Time-consistent mean-variance portfolio optimization : a numerical impulse control approach
Staden, Pieter M. van; Dang, Duy Minh; Forsyth, Peter A. - In: Insurance / Mathematics & economics 83 (2018), pp. 9-28
Persistent link: https://www.econbiz.de/10011944090
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Numerical solution of the HamiltonJacobiBellman formulation for continuous time mean variance asset allocation
Wang, J.; Forsyth, Peter A. - In: Journal of economic dynamics & control 34 (2010) 2, pp. 207-230
Persistent link: https://www.econbiz.de/10003947664
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An optimal stochastic control framework for determining the cost of hedging of variable annuities
Forsyth, Peter A.; Vetzal, Kenneth R. - In: Journal of economic dynamics & control 44 (2014), pp. 29-53
Persistent link: https://www.econbiz.de/10010470085
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The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors
Staden, Pieter M. van; Dang, Duy Minh; Forsyth, Peter A. - In: European journal of operational research : EJOR 289 (2021) 2, pp. 774-792
Persistent link: https://www.econbiz.de/10012416872