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Mathematical finance : an international journal of mathematics, statistics and financial theory
Mathematics of operations research
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On singular control for Lévy processes
Noba, Kei
;
Yamazaki, Kazutoshi
- In:
Mathematics of operations research
48
(
2023
)
3
,
pp. 1213-1234
Persistent link: https://www.econbiz.de/10014329210
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2
Optimality of independently randomized symmetric policies for exchangeable stochastic teams with infinitely many decision makers
Sanjari, Sina
;
Saldi, Naci
;
Yüksel, Serdar
- In:
Mathematics of operations research
48
(
2023
)
3
,
pp. 1254-1285
Persistent link: https://www.econbiz.de/10014329259
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3
Risk-averse optimal control in continuous time by nesting risk measures
Pichler, Alois
;
Schlotter, Ruben
- In:
Mathematics of operations research
48
(
2023
)
3
,
pp. 1657-1678
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4
Optimization under rational expectations : a framework of fully coupled forward-backward stochastic linear quadratic systems
Hu, Mingshang
;
Ji, Shaolin
;
Xue, Xiaole
- In:
Mathematics of operations research
48
(
2023
)
3
,
pp. 1767-1790
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5
Dynamic optimal reinsurance and dividend payout in finite time horizon
Guan, Chonghu
;
Xu, Zuo Quan
;
Zhou, Rui
- In:
Mathematics of operations research
48
(
2023
)
1
,
pp. 544-568
Persistent link: https://www.econbiz.de/10014312571
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6
McKean-Vlasov optimal control : limit theory and equivalence between different formulations
Djete, Mao Fabrice
;
Possamaï, Dylan
;
Tan, Xiaolu
- In:
Mathematics of operations research
47
(
2022
)
4
,
pp. 2891-2930
Persistent link: https://www.econbiz.de/10014311392
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7
Hamilton-Jacobi equations with semilinear costs and state constraints, with applications to large deviations in games
Sandholm, William H.
;
Tran, Hung V.
;
Arigapudi, Srinivas
- In:
Mathematics of operations research
47
(
2022
)
1
,
pp. 72-99
Persistent link: https://www.econbiz.de/10013364853
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8
Value functions and optimality conditions for nonconvex variational problems with an infinite horizon in banach spaces
Frankowska, Hélène
;
Sagara, Nobusumi
- In:
Mathematics of operations research
47
(
2022
)
1
,
pp. 320-340
Persistent link: https://www.econbiz.de/10013364866
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9
Nonzero-sum stochastic games and mean-field games with impulse controls
Basei, Matteo
;
Cao, Haoyang
;
Guo, Xin
- In:
Mathematics of operations research
47
(
2022
)
1
,
pp. 341-366
Persistent link: https://www.econbiz.de/10013364867
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10
Infinite horizon stochastic impulse control with delay and random coefficients
Djehiche, Boualem
;
Hamadène, Said
;
Hdhiri, Ibtissem
; …
- In:
Mathematics of operations research
47
(
2022
)
1
,
pp. 665-689
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11
Strong and weak equilibria for time-inconsistent stochastic control in continuous time
Huang, Yu-Jui
;
Zhou, Zhou
- In:
Mathematics of operations research
46
(
2021
)
2
,
pp. 428-451
Persistent link: https://www.econbiz.de/10012582175
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12
Nonzero-sum stochastic differential games with impulse controls : a verification theorem with applications
Aïd, René
;
Basei, Matteo
;
Callegaro, Giorgia
;
Campi, …
- In:
Mathematics of operations research
45
(
2020
)
1
,
pp. 205-232
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13
Future expectations modeling, random coefficient forward-backward stochastic differential equations, and stochastic viscosity solutions
Kartala, Xanthi-Isidora
;
Englezos, Nikolaos
; …
- In:
Mathematics of operations research
45
(
2020
)
2
,
pp. 403-433
Persistent link: https://www.econbiz.de/10012242504
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14
Approximate Markov-Nash equilibria for discrete-time risk-sensitive mean-field games
Saldi, Naci
;
Başar, Tamer
;
Raginsky, Maxim
- In:
Mathematics of operations research
45
(
2020
)
4
,
pp. 1596-1620
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15
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
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16
Infinite-horizon average optimality of the N-network in the Halfin-Whitt regime
Arapostathis, Ari
;
Pang, Guodong
- In:
Mathematics of operations research
43
(
2018
)
3
,
pp. 838-866
Persistent link: https://www.econbiz.de/10011914370
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17
Impact of time illiquidity in a mixed market without full observation
Federico, Salvatore
;
Gassiat, Paul
;
Gozzi, Fausto
- In:
Mathematical finance : an international journal of …
27
(
2017
)
2
,
pp. 401-437
Persistent link: https://www.econbiz.de/10011752503
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18
A first-order BSPDE for swing option pricing : classical solutions
Bender, Christian
;
Dokučaev, Nikolaj G.
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 902-925
Persistent link: https://www.econbiz.de/10011764986
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19
Calculating principal eigen-functions of non-negative integral kernels : particle approximations and applications
Whiteley, Nick
;
Kantas, Nikolas
- In:
Mathematics of operations research
42
(
2017
)
4
,
pp. 1007-1034
Persistent link: https://www.econbiz.de/10011773301
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20
Optimal boundary surface for irreversible investment with stochastic costs
De Angelis, Tiziano
;
Federico, Salvatore
;
Ferrari, Giorgio
- In:
Mathematics of operations research
42
(
2017
)
4
,
pp. 1135-1161
Persistent link: https://www.econbiz.de/10011773311
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21
Optimal dynamic risk taking
Subramanian, Ajay
;
Yang, Baozhong
- In:
Mathematics of operations research
42
(
2017
)
3
,
pp. 599-625
Persistent link: https://www.econbiz.de/10011742432
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22
A first-order BSPDE for swing option pricing
Bender, Christian
;
Dokučaev, Nikolaj G.
- In:
Mathematical finance : an international journal of …
26
(
2016
)
3
,
pp. 461-491
Persistent link: https://www.econbiz.de/10011583530
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23
Robust MDPs with k-rectangular uncertainty
Mannor, Shie
;
Mebel, Ofir
;
Xu, Huan
- In:
Mathematics of operations research
41
(
2016
)
4
,
pp. 1484-1509
Persistent link: https://www.econbiz.de/10011595106
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24
Optimal execution of a VWAP order : a stochastic control approach
Frei, Christoph
;
Westray, Nicholas
- In:
Mathematical finance : an international journal of …
25
(
2015
)
3
,
pp. 612-639
Persistent link: https://www.econbiz.de/10011350559
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25
General intensity shapes in optimal liquidation
Guéant, Olivier
;
Lehalle, Charles-Albert
- In:
Mathematical finance : an international journal of …
25
(
2015
)
3
,
pp. 457-495
Persistent link: https://www.econbiz.de/10011350585
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26
Game of singular stochastic control and strategic exit
Kwon, H. Dharma
;
Zhang, Hongzhong
- In:
Mathematics of operations research
40
(
2015
)
4
,
pp. 869-887
Persistent link: https://www.econbiz.de/10011408931
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27
A mixed value and policy iteration method for stochastic control with universally measurable policies
Yu, Huizhen
;
Bertsekas, Dimitri P.
- In:
Mathematics of operations research
40
(
2015
)
4
,
pp. 926-968
Persistent link: https://www.econbiz.de/10011409000
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28
Liquidation in limit order books with controlled intensity
Bayraktar, Erhan
;
Ludkovski, Michael
- In:
Mathematical finance : an international journal of …
24
(
2014
)
4
,
pp. 627-650
Persistent link: https://www.econbiz.de/10011308178
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29
An explicit solution of a nonlinear-quadratic constrained stochastic control problem with jumps : optimal liquidation in dark pools with adverse selection
Kratz, Peter
- In:
Mathematics of operations research
39
(
2014
)
4
,
pp. 1198-1220
Persistent link: https://www.econbiz.de/10010462146
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30
Optimal control of a Brownian production/inventory system with average cost criterion
Wu, Jingchen
;
Chao, Xiuli
- In:
Mathematics of operations research
39
(
2014
)
1
,
pp. 163-189
Persistent link: https://www.econbiz.de/10010345217
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31
Mean-variance portfolio optimization with state-dependent risk aversion
Björk, Tomas
;
Murgoci, Agatha
;
Zhou, Xun Yu
- In:
Mathematical finance : an international journal of …
24
(
2014
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10010256230
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32
Arbitrage-free multifactor term structure models : a theory based on stochastic control
Gombani, Andrea
;
Runggaldier, Wolfgang J.
- In:
Mathematical finance : an international journal of …
23
(
2013
)
4
,
pp. 659-686
Persistent link: https://www.econbiz.de/10010187681
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33
Dynamic scheduling of a two-server parallel server system with complete resource pooling and reneging in heavy traffic : asymptotic optimality of a two-threshold policy
Ghamami, Samim
;
Ward, Amy R.
- In:
Mathematics of operations research
38
(
2013
)
4
,
pp. 761-824
Persistent link: https://www.econbiz.de/10010210713
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34
A computational method for stochastic impulse control problems
Feng, Haolin
;
Muthuraman, Kumar
- In:
Mathematics of operations research
35
(
2010
)
4
,
pp. 830-850
Persistent link: https://www.econbiz.de/10008823135
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35
Maximizing the growth rate under risk constraints
Pirvu, Traian A.
;
Žitković, Gordan
- In:
Mathematical finance : an international journal of …
19
(
2009
)
3
,
pp. 423-455
Persistent link: https://www.econbiz.de/10003882789
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36
Risk indifference pricing in jump diffusion markets
Øksendal, Bernt K.
;
Sulem, Agnès
- In:
Mathematical finance : an international journal of …
19
(
2009
)
4
,
pp. 619-637
Persistent link: https://www.econbiz.de/10003937165
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37
A model of optimal consumption under liquidity risk with random trading times
Pham, Huyên
;
Tankov, Peter
- In:
Mathematical finance : an international journal of …
18
(
2008
)
4
,
pp. 613-627
Persistent link: https://www.econbiz.de/10003769020
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38
Liquidation of a large block of stock with regime switching
Pemy, Moustapha
;
Zhang, Qing
;
Yin, George
- In:
Mathematical finance : an international journal of …
18
(
2008
)
4
,
pp. 629-648
Persistent link: https://www.econbiz.de/10003769023
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39
Simulation-based portfolio optimization for large portfolios with transaction costs
Muthuraman, Kumar
;
Zha, Haining
- In:
Mathematical finance : an international journal of …
18
(
2008
)
1
,
pp. 115-134
Persistent link: https://www.econbiz.de/10003643474
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40
Optioned portfolio selection : models and analysis
Liang, Jianfeng
;
Zhang, Shuzhong
;
Li, Duan
- In:
Mathematical finance : an international journal of …
18
(
2008
)
4
,
pp. 569-593
Persistent link: https://www.econbiz.de/10003769015
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41
Guaranteed minimum withdrawal benefit in variable annuities
Dai, Min
;
Kwok, Yue-Kuen
;
Zong, Jianping
- In:
Mathematical finance : an international journal of …
18
(
2008
)
4
,
pp. 595-611
Persistent link: https://www.econbiz.de/10003769016
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42
Multidimensional portfolio optimization with proportional transaction costs
Muthuraman, Kumar
;
Kumar, Sunil
- In:
Mathematical finance : an international journal of …
16
(
2006
)
2
,
pp. 301-335
Persistent link: https://www.econbiz.de/10003325969
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43
Classical and impulse stochastic control for the optimization of the dividend and risk policies of an insurance firm
Cadenillas, Abel
;
Choulli, Tahir
;
Taskar, Michael
; …
- In:
Mathematical finance : an international journal of …
16
(
2006
)
1
,
pp. 181-202
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44
On the fundamental theorem of asset pricing : random constraints and bang-bang no-arbitrage criteria
Evstigneev, Igor V.
;
Schürger, Klaus
;
Taksar, Michael I.
- In:
Mathematical finance : an international journal of …
14
(
2004
)
2
,
pp. 201-221
Persistent link: https://www.econbiz.de/10002032691
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45
Calibrating a diffusion pricing model with uncertain volatility: regularization and stability
Samperi, Dominick
- In:
Mathematical finance : an international journal of …
12
(
2002
)
1
,
pp. 71-87
Persistent link: https://www.econbiz.de/10001686213
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46
Classical and impulse stochastic control of the exchange rate using interest rates and reserves
Cadenillas, Abel
;
Zapatero, Fernando
- In:
Mathematical finance : an international journal of …
10
(
2000
)
2
,
pp. 141-156
Persistent link: https://www.econbiz.de/10002177370
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47
Risk-sensitive control and an optimal investment model
Fleming, Wendell Helms
;
Sheu, S. J.
- In:
Mathematical finance : an international journal of …
10
(
2000
)
2
,
pp. 197-213
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48
Value preserving strategies and a general framework for local approaches to optimal portfolios
Korn, Ralf
- In:
Mathematical finance : an international journal of …
10
(
2000
)
2
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pp. 227-241
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A stochastic control approach to risk management under restricted information
Runggaldier, Wolfgang J.
;
Zaccaria Ruggiu, Annapaola
- In:
Mathematical finance : an international journal of …
10
(
2000
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2
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pp. 277-288
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