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Game theoretic analysis of incomplete markets : emergence of probabilities, nonlinear and fractional Black-Scholes equations

Kolokolʹcov, Vassilij N. - In: Risk and decision analysis 4 (2013) 3, pp. 131-161

Persistent link: https://www.econbiz.de/10010190161

Quantum mean-field games with the observations of counting type

Kolokolʹcov, Vassilij N. - In: Games 12 (2021) 1/7, pp. 1-14

Quantum games and mean-field games (MFG) represent two important new branches of game theory. In a recent paper the author developed quantum MFGs merging these two branches. These quantum MFGs were based on the theory of continuous quantum observations and filtering of diffusive type. In the...

Persistent link: https://www.econbiz.de/10012432543

Dynamic quantum games

Kolokolʹcov, Vassilij N. - In: Dynamic games and applications : DGA 12 (2022) 2, pp. 552-573

Persistent link: https://www.econbiz.de/10013198717

CTMC integral equation method for American options under stochastic local volatility models

Ma, Jingtang; Yang, Wensheng; Cui, Zhenyu - In: Journal of economic dynamics & control 128 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10012628259

Analysis of Markov chain approximation for Asian options and occupation-time derivatives : Greeks and convergence rates

Yang, Wensheng; Ma, Jingtang; Cui, Zhenyu - In: Mathematical methods of operations research : ZOR 93 (2021) 2, pp. 359-412

Persistent link: https://www.econbiz.de/10012548535

Optimal investment for asset-liability management with delay and partial information under Ornstein-Uhlenbeck process

Chen, Dengsheng; Yang, Wensheng; Wang, Chengben - In: Pacific-Basin finance journal 86 (2024), pp. 1-14

Persistent link: https://www.econbiz.de/10015095152

The impact of sales effort on a dual-channel dynamical system under a price-sensitive stochastic demand

Datta, Alotosh; Sarkar, Biswajit; Dey, Bikash Koli; … - In: Journal of retailing and consumer services 76 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10014460798