Search Results - subject:"Stochastic Control"

Limited factors and why optimal growth has led to destruction

Camacho, Carmen; Ruan, Weihua; Zou, Benteng - 2025

Persistent link: https://www.econbiz.de/10015173861

Fast and slow optimal trading with exogenous information

Cont, Rama; Micheli, Alessandro; Neuman, Eyal - In: Finance and stochastics 29 (2025) 2, pp. 553-607

Persistent link: https://www.econbiz.de/10015394810

Optimal control problem for hybrid pension plans under longevity risk for alpha-maxmin expected utility minimization

Chen, Ya; Liu, Wei; Zhao, Zhen - 2025

Persistent link: https://www.econbiz.de/10015359797

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

surplus of one branch may become negative. More specific, we solve the stochastic control problem of maximizing discounted …

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

Optimal chance-constrained pension fund management through dynamic stochastic control

Lauria, Davide; Consigli, Giorgio; Maggioni, Francesca - In: OR spectrum : quantitative approaches in management 44 (2022) 3, pp. 967-1007

Persistent link: https://www.econbiz.de/10013440687

A singular stochastic control approach for optimal pairs trading with proportional transaction costs

Xing, Haipeng - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-23

use a singular stochastic control approach to study an optimal pairs trading problem with proportional transaction costs … singular stochastic control value function. We then develop a discrete time dynamic programming algorithm to compute the …

Persistent link: https://www.econbiz.de/10013168724

Consumption decision, portfolio choice and healthcare irreversible investment

Ferrari, Giorgio; Zhu, Shihao - 2022

resulting optimization problem is formulated as a stochastic control-stopping problem with a random time-horizon and state …

Persistent link: https://www.econbiz.de/10013466319

Cooperation, correlation and competition in ergodic N-player games and mean-field games of singular controls: A case study

Cannerozzi, Federico; Ferrari, Giorgio - 2024

We consider ergodic symmetric N-player and mean-field games of singular control in both cooperative and competitive settings. The state process dynamics of a representative player follow geometric Brownian motion, controlled additively through a nondecreasing process. Agents aim to maximize a...

Persistent link: https://www.econbiz.de/10014540101

Variational inequalities and smooth-fit principle for singular stochastic control problems in Hilbert spaces

Federico, Salvatore; Ferrari, Giorgio; Riedel, Frank; … - 2024

We consider a class of infinite-dimensional singular stochastic control problems. These can be thought of as spatial …

Persistent link: https://www.econbiz.de/10014563912

Benchmark-driven investment for DC pension plans

Pelsser, Antoon André Jean; Yang, Li - In: Journal of pension economics and finance : JPEF 23 (2024) 4, pp. 476-503

Persistent link: https://www.econbiz.de/10015154280