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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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Optimal market making under partial information with general intensities
Campi, Luciano; Zabaljauregui, Diego - In: Applied mathematical finance 27 (2020) 1/2, pp. 1-45
Persistent link: https://www.econbiz.de/10012254093
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Optimal management of debt-to-GDP ratio with regime-switching interest rate
Ferrari, Giorgio; Rodosthenous, Neofytos - 2018
control problem over an infinite time-horizon with regime switching, and we provide its explicit solution. To the best of our …
Persistent link: https://www.econbiz.de/10011891920
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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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Approximating the solution of stochastic optimal control problems and the Merton's portfolio selection model
Kafash, Behzad - In: Computational economics 54 (2019) 2, pp. 763-782
Persistent link: https://www.econbiz.de/10012134353
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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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Stochastic control with inhomogeneous regime switching : application to consumption and investment with unemployment and reemployment
Tao, Cheng; Rong, Ximin; Zhao, Hui - In: Journal of mathematical economics 107 (2023), pp. 1-10
Persistent link: https://www.econbiz.de/10014366223
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Optimal risk and liquidity management with costly refinancing opportunities
Barth, Andrea; Moreno-Bromberg, Santiago - In: Insurance / Mathematics & economics 57 (2014), pp. 31-45
Persistent link: https://www.econbiz.de/10010402740