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Expected log-utility maximization under incomplete information and with Cox-process observations
Fujimoto, Kazufumi; Nagai, Hideo; Runggaldier, Wolfgang J. - In: Asia-Pacific financial markets 21 (2014) 1, pp. 35-66
Persistent link: https://www.econbiz.de/10010358462
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A theory of Markovian time-inconsistent stochastic control in discrete time
Björk, Tomas; Murgoci, Agatha - In: Finance and stochastics 18 (2014) 3, pp. 545-592
Persistent link: https://www.econbiz.de/10010396002
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A finite-horizon optimal investment and consumption problem using regime-switching models
Liu, Rui Hua - In: International journal of theoretical and applied finance 17 (2014) 4, pp. 1-18
Persistent link: https://www.econbiz.de/10010391500
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Strong and weak equilibria for time-inconsistent stochastic control in continuous time
Huang, Yu-Jui; Zhou, Zhou - In: Mathematics of operations research 46 (2021) 2, pp. 428-451
Persistent link: https://www.econbiz.de/10012582175
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Natural gas-fired power plants valuation and optimization under Lévy copulas and regime switching
Safarov, Nemat; Atkinson, Colin - In: International journal of theoretical and applied finance 20 (2017) 1, pp. 1-38
Persistent link: https://www.econbiz.de/10011686797
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Optimal asset allocation with stochastic interest rates in regime-switching models
Ye, C.; Liu, Rui Hua; Ren, D. - In: International journal of theoretical and applied finance 21 (2018) 5, pp. 1-32
Persistent link: https://www.econbiz.de/10011903782
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Optimal mean-variance investment/reinsurance withcommon shock in a regime-switching market
Bi, Junna; Liang, Zhibin; Yuen, Kam Chuen - In: Mathematical methods of operations research 90 (2019) 1, pp. 109-135
Persistent link: https://www.econbiz.de/10012116630
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Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models
Zhuo, Jin; Liu, Guo; Yang, Hailiang - In: European journal of operational research : EJOR 280 (2020) 3, pp. 1130-1143
Persistent link: https://www.econbiz.de/10012132524
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Optimal dynamic futures portfolio in a regime-switching market framework
Leung, Tim; Zhou, Yang - In: International journal of financial engineering 6 (2019) 4, pp. 1-27
Persistent link: https://www.econbiz.de/10012314525
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Zero-sum stochastic games with random rules of priority, discrete linear-quadratic model
Hernández-Hernández, Daniel; Ricalde-Guerrero, Joshué H. - In: Dynamic games and applications : DGA 12 (2022) 4, pp. 1293-1311
Persistent link: https://www.econbiz.de/10013433667