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A theory of Markovian time-inconsistent stochastic control in discrete time
Björk, Tomas; Murgoci, Agatha - In: Finance and stochastics 18 (2014) 3, pp. 545-592
Persistent link: https://www.econbiz.de/10010396002
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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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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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Asymptotically optimal inventory control for assemble-to-order systems with identical lead times
Reiman, Martin I.; Wang, Qiong - In: Operations research 63 (2015) 3, pp. 716-732
Persistent link: https://www.econbiz.de/10011292923
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Quadratic minimization with portfolio and terminal wealth constraints
Heunis, Andrew J. - In: Annals of finance 11 (2015) 2, pp. 243-282
Persistent link: https://www.econbiz.de/10011376186
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Minimizing the probability of ruin : optimal per-loss reinsurance
Liang, Xiaoqing; Young, Virginia R. - In: Insurance / Mathematics & economics 82 (2018), pp. 181-190
Persistent link: https://www.econbiz.de/10011929867
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Optimal investment strategies for participating contracts
Lin, Hongcan; Saunders, David M.; Weng, Chengguo - In: Insurance / Mathematics & economics 73 (2017), pp. 137-155
Persistent link: https://www.econbiz.de/10011702060
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Minimizing the expected lifetime spent in drawdown under proportional consumption
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. - In: Finance research letters 15 (2015), pp. 106-114
Persistent link: https://www.econbiz.de/10011552995
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A BSDE-based approach for the optimal reinsurance problem under partial information
Brachetta, M.; Ceci, C. - In: Insurance / Mathematics & economics 95 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012419211
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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