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Portfolio selection
Hamilton-Jacobi-Bellman equations
17
Theorie
7
Theory
7
Portfolio-Management
6
Stochastic process
5
Stochastischer Prozess
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Hamilton-Jacobi-Bellman Equations
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Option pricing theory
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superreplication
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dynamic programming
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fully nonlinear PDE
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nonlinear Cauchy problem
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nonlinear asset pricing
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well-posedness and uniqueness
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$\epsilon$-optimal controls
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Avanesyan, Levon
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Figueroa-López, José E.
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Ieda, Masashi
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Li, Jinzhi
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Computational economics
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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ECONIS (ZBW)
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Model misspecification and pricing of illiquid claims
Rubtsov, Alexey
- In:
Finance research letters
18
(
2016
),
pp. 242-249
Persistent link: https://www.econbiz.de/10011657056
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Dynamic portfolio optimization with a defaultable security and regime-switching
Capponi, Agostino
;
Figueroa-López, José E.
- In:
Mathematical finance : an international journal of …
24
(
2014
)
2
,
pp. 207-249
Persistent link: https://www.econbiz.de/10010357378
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3
A liability tracking approach to long term management of pension funds
Ieda, Masashi
;
Yamashita, Takashi
;
Nakano, Yumiharu
- In:
Journal of mathematical finance
3
(
2013
)
3
,
pp. 392-400
Persistent link: https://www.econbiz.de/10010239531
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4
Optimal investment for the insurers in Markov-modulated jump-diffusion models
Li, Jinzhi
;
Liu, Haiying
- In:
Computational economics
46
(
2015
)
1
,
pp. 143-156
Persistent link: https://www.econbiz.de/10011441047
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5
Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem
Avanesyan, Levon
;
Shkolnikov, Mykhaylo
;
Sircar, Kaushik …
- In:
Finance and stochastics
24
(
2020
)
4
,
pp. 981-1011
Persistent link: https://www.econbiz.de/10012518139
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6
Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty
Bismuth, Alexis
;
Guéant, Olivier
;
Pu, Jiang
- In:
Mathematics and financial economics
13
(
2019
)
4
,
pp. 661-719
Persistent link: https://www.econbiz.de/10012055900
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