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A stochastic control approach to bid-ask price modelling
Dela Vega, Engel John C.; Elliott, Robert J. - In: International journal of theoretical and applied … 25 (2022) 4/5, pp. 1-30
Persistent link: https://www.econbiz.de/10013371064
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Optimal trading with regime switching : numerical and analytic techniques applied to valuing storage in an electricity balancing market
Johnson, Paul; Szabó, Dávid Zoltán; Duck, Peter - In: European journal of operational research : EJOR 319 (2024) 2, pp. 611-624
Persistent link: https://www.econbiz.de/10015084871
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Regression methods for stochastic control problems and their convergence analysis
Belomestny, Denis; Kolodko, Anastasia; Schoenmakers, John - 2009
In this paper we develop several regression algorithms for solving general stochastic optimal control problems via … dependence structure of the underlying Markov process with respect to some control. The main idea behind the algorithms is to … investor. -- Optimal stochastic control ; Regression methods ; Convergence analysis. …
Persistent link: https://www.econbiz.de/10003835132
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Stochastic control in limit order markets : curve following, portfolio liquidation and derivative valuation
Naujokat, Felix - 2011
Persistent link: https://www.econbiz.de/10009552027
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Continuously controlled options : derivatives with added flexibility
Dokučaev, Nikolaj G. - In: International journal of theoretical and applied finance 16 (2013) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10009725089
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Income drawdown option with minimum guarantee
Di Giacinto, Marina; Federico, Salvatore; Gozzi, Fausto; … - In: European journal of operational research : EJOR 234 (2014) 3, pp. 610-624
Persistent link: https://www.econbiz.de/10010360497
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Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
Yi, Bo; Li, Zhongfei; Viens, Frederi G.; Zeng, Yan - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 601-614
Persistent link: https://www.econbiz.de/10010227929
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Super-diffusive noise source in asset dynamics
Hongler, Max-Olivier - In: Journal of mathematical finance 3 (2013) 1, pp. 53-58
Persistent link: https://www.econbiz.de/10010240227
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On the optimal boundary of a three-dimensional singular stochastic control problem arising in irreversible investment
De Angelis, Tiziano; Federico, Salvatore; Ferrari, Giorgio - 2014
optimization problem is set as a three-dimensional degenerate singular stochastic control problem. We provide the optimal control …
Persistent link: https://www.econbiz.de/10010366159
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Optimal control of linear stochastic systems with singular costs, and the mean-variance hedging problem with stochastic market conditions
Kohlmann, Michael; Tang, Shanjian - 2000
The optimal control problem is considered for linear stochastic systems with a singular cost. A new uniformly convex …
Persistent link: https://www.econbiz.de/10011543597