Search Results - subject:"Dynamic programming principle"

Impact of government's support policy on decision-making of platform participants under ESG

Li, Renzhong; Fei, Chen; Fei, Weiyin - In: The North American journal of economics and finance : a … 75 (2025) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10015359867

Hedging longevity risk in defined contribution pension schemes

Agarwal, Ankush; Ewald, Christian; Wang, Yongjie - In: Computational management science 20 (2023) 1, pp. 1-34

Persistent link: https://www.econbiz.de/10014228476

Optimal dividends for a two-dimensional risk model with simultaneous ruin of both branches

Strietzel, Philipp Lukas; Heinrich, Henriette Elisabeth - In: Risks : open access journal 10 (2022) 6, pp. 1-23

We consider the optimal dividend problem in the so-called degenerate bivariate risk model under the assumption that the surplus of one branch may become negative. More specific, we solve the stochastic control problem of maximizing discounted dividends until simultaneous ruin of both branches of...

Persistent link: https://www.econbiz.de/10013363123

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

A unified framework for robust modelling of financial markets in discrete time

Obłój, Jan; Wiesel, Johannes - In: Finance and stochastics 25 (2021) 3, pp. 427-468

Persistent link: https://www.econbiz.de/10012585981

Dynamic programming principles for mean-field controls with learning

Gu, Haotian; Guo, Xin; Wei, Xiaoli; Xu, Renyuan - In: Operations research 71 (2023) 4, pp. 1040-1054

Persistent link: https://www.econbiz.de/10014338000

Markov decision processes under model uncertainty

Neufeld, Ariel; Sester, Julian; Ṥikić, Mario - In: Mathematical finance : an international journal of … 33 (2023) 3, pp. 618-665

Persistent link: https://www.econbiz.de/10014329899

Sharing of longevity basis risk in pension schemes with income-drawdown guarantees

Agarwal, Ankush; Ewald, Christian; Wang, Yongjie - 2020

Persistent link: https://www.econbiz.de/10012661294

Pricing basket weather derivatives on rainfall and temperature processes

Dzupire, Nelson Christopher; Ngare, Philip; Odongo, Leo - In: International Journal of Financial Studies 7 (2019) 3, pp. 1-14

This paper follows an incomplete market pricing approach to analyze the evaluation of weather derivatives and the viability of a weather derivatives market in terms of hedging. A utility indifference method is developed for the specification of indifference prices for the seller and buyer of a...

Persistent link: https://www.econbiz.de/10013200213

Pricing basket weather derivatives on rainfall and temperature processes

Dzupire, Nelson Christopher; Ngare, Philip; Odongo, Leo - In: International Journal of Financial Studies : open … 7 (2019) 3/35, pp. 1-14

Persistent link: https://www.econbiz.de/10012039713