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Stochastischer Prozess
Hamilton-Jacobi-Bellman equations
17
Theorie
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Theory
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Portfolio selection
6
Portfolio-Management
6
Stochastic process
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Hamilton-Jacobi-Bellman Equations
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Option pricing theory
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stochastic optimal control
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stochastic volatility
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superreplication
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Incomplete markets
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Markov Modulated Poisson Processes
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Nichtlineare Regression
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Partial Delay Differential Equations
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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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Cvitanić, Jakša
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Ieda, Masashi
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Li, Jinzhi
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Lim, Tiong Wee
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Liu, Haiying
1
Nakano, Yumiharu
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Possamaï, Dylan
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Shkolnikov, Mykhaylo
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Sircar, Kaushik Ronnie
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Finance and stochastics
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Journal of mathematical finance
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The journal of computational finance
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ECONIS (ZBW)
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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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2
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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3
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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4
Dynamic programming approach to principal-agent problems
Cvitanić, Jakša
;
Possamaï, Dylan
;
Touzi, Nizar
- In:
Finance and stochastics
22
(
2018
)
1
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011945612
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5
European option pricing under geometric Lévy processes with proportional transaction costs
Xing, Haipeng
;
Yu, Yang
;
Lim, Tiong Wee
- In:
The journal of computational finance
21
(
2017/2018
)
2
,
pp. 101-127
Persistent link: https://www.econbiz.de/10011848317
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