Explicit solutions to utility maximization problems in a regime-switching market model via Laplace transforms (Q1730323): Difference between revisions

@@ Property / cites work @@
+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
+Normal rank
@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
+Normal rank
@@ Property / cites work @@
+Q3509355
@@ Property / cites work: Q3509355 / rank @@
+Normal rank
@@ Property / cites work @@
+DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING
+Normal rank
@@ Property / cites work @@
+Portfolio optimization in a regime-switching market with derivatives
+Normal rank
@@ Property / cites work @@
+Nearly-optimal asset allocation in hybrid stock investment models.
+Normal rank
@@ Property / cites work @@
+On the Hamilton-Jacobi-Bellman equations
@@ Property / cites work: On the Hamilton-Jacobi-Bellman equations / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Investment With Undiversifiable Income Risk
+Normal rank
@@ Property / cites work @@
+Hedging in incomplete markets with HARA utility
@@ Property / cites work: Hedging in incomplete markets with HARA utility / rank @@
+Normal rank
@@ Property / cites work @@
+Viscosity solution of mean-variance portfolio selection of a jump Markov process with no-shorting constraints
+Normal rank
@@ Property / cites work @@
+Optimal stock liquidation in a regime switching model with finite time horizon
+Normal rank
@@ Property / cites work @@
+Optimal stopping of switching diffusions with state dependent switching rates
+Normal rank
@@ Property / cites work @@
+Optimal liquidation in a finite time regime switching model with permanent and temporary pricing impact
+Normal rank
@@ Property / cites work @@
+User’s guide to viscosity solutions of second order partial differential equations
+Normal rank
@@ Property / cites work @@
+Controlled Markov processes and viscosity solutions
+Normal rank
@@ Property / cites work @@
+Coupling and tracking of regime-switching martingales
+Normal rank
@@ Property / cites work @@
+Q4086303
@@ Property / cites work: Q4086303 / rank @@
+Normal rank
@@ Property / cites work @@
+Hybrid switching diffusions. Properties and applications
+Normal rank
@@ Property / cites work @@
+Risk Aversion in the Small and in the Large
@@ Property / cites work: Risk Aversion in the Small and in the Large / rank @@
+Normal rank
@@ Property / cites work @@
+Feynman-Kac formula for switching diffusions: connections of systems of partial differential equations and stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Optimal Control with State-Space Constraint I
@@ Property / cites work: Optimal Control with State-Space Constraint I / rank @@
+Normal rank
@@ Property / cites work @@
+Consumption-Investment Models with Constraints
@@ Property / cites work: Consumption-Investment Models with Constraints / rank @@
+Normal rank
@@ Property / cites work @@
+On the regularity of American options with regime-switching uncertainty
+Normal rank
@@ Property / cites work @@
+Q4226355
@@ Property / cites work: Q4226355 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3760262
@@ Property / cites work: Q3760262 / rank @@
+Normal rank
@@ Property / cites work @@
+An Introduction to the Theory of Viscosity Solutions for First-Order Hamilton–Jacobi Equations and Applications
+Normal rank
@@ Property / cites work @@
+Q4086524
@@ Property / cites work: Q4086524 / rank @@
+Normal rank
@@ Property / cites work @@
+An Introduction to Laplace Transforms and Fourier Series
+Normal rank