Search Results - subject:"Stochastic Control"

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

The two-dimensional tree-grid method

Kossaczký, Igor; Ehrhardt, Matthias; Günther, Michael - In: The journal of computational finance 23 (2019) 2, pp. 29-57

Persistent link: https://www.econbiz.de/10012111259

Multi-dimensional optimal trade execution under stochastic resilience

Horst, Ulrich; Xia, Xiaonyu - In: Finance and stochastics 23 (2019) 4, pp. 889-923

Persistent link: https://www.econbiz.de/10012114663

Hedge-fund management with liquidity constraint

Ramirez, Hugo E.; Duck, Peter; Johnson, Paul; Howell, … - In: International journal of theoretical and applied finance 22 (2019) 6, pp. 1-31

Persistent link: https://www.econbiz.de/10012153086

A solvable two-dimensional degenerate singular stochastic control problem with nonconvex costs

De Angelis, Tiziano; Ferrari, Giorgio; Moriarty, John - In: Mathematics of operations research 44 (2019) 2, pp. 512-531

Persistent link: https://www.econbiz.de/10012028632

Optimal proportional reinsurance and investment for stochastic factor models

Brachetta, M.; Ceci, C. - In: Insurance / Mathematics & economics 87 (2019), pp. 15-33

Persistent link: https://www.econbiz.de/10012058904

Irreversible investment under Lévy uncertainty : an equation for the optimal boundary

Ferrari, Giorgio; Salminen, Paavo - 2014

exponential Lévy uncertainty. The problem is set as an infinite time-horizon, two-dimensional degenerate singular stochastic … control problem. In line with the results recently obtained in a diffusive setting, we show that the optimal boundary is …

Persistent link: https://www.econbiz.de/10010438262

Risk management of interest rate derivative portfolios : a stochastic control approach

Kiriakopoulos, Konstantinos; Koulis, Alexandros - In: Journal of risk and financial management : JRFM 7 (2014) 4, pp. 130-149

In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic portfolio optimization problem. The utility that we use can be any continuous function and based on the viscosity theory, the unique solution of the problem is guaranteed. The...

Persistent link: https://www.econbiz.de/10011552973

Bayesian optimal investment and reinsurance with dependent financial and insurance risks

Bäuerle, Nicole; Leimcke, Gregor - In: Statistics & Risk Modeling 39 (2022) 1-2, pp. 23-47

between the financial market and claim sizes in times of crisis and determine via a stochastic control approach an optimal …

Persistent link: https://www.econbiz.de/10014621291

A mathematical model for the optimal robust design of cause selecting control charts

Duffuaa, Salih O.; Ghaithan, Ahmed M.; Attia, Ahmed M. - In: European journal of industrial engineering : EJIE 16 (2022) 2, pp. 169-193

Persistent link: https://www.econbiz.de/10012887427