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Expected log-utility maximization under incomplete information and with Cox-process observations
Fujimoto, Kazufumi; Nagai, Hideo; Runggaldier, Wolfgang J. - In: Asia-Pacific financial markets 21 (2014) 1, pp. 35-66
Persistent link: https://www.econbiz.de/10010358462
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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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Numerical approximation by quantization of control problems in finance under partial observations
Pham, Huyên; Corsi, Marco; Runggaldier, Wolfgang J. - 2009
Persistent link: https://www.econbiz.de/10003827001
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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) 2, pp. 277-288
Persistent link: https://www.econbiz.de/10002177738
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Classical and restricted impulse control for the exchange rate under a stochastic trend model
Runggaldier, Wolfgang J.; Yasuda, Kazuhiro - In: Journal of economic dynamics & control 91 (2018), pp. 369-390
Persistent link: https://www.econbiz.de/10011974210
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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