Pages that link to "Item:Q5898769"
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The following pages link to Applied stochastic control of jump diffusions (Q5898769):
Displayed 50 items.
- Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management (Q988683) (← links)
- Stochastic impulse control of non-Markovian processes (Q989967) (← links)
- On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy (Q993724) (← links)
- A maximum principle approach to risk indifference pricing with partial information (Q1009400) (← links)
- Maximum principle for stochastic differential games with partial information (Q1014037) (← links)
- Optimal stochastic impulse control with delayed reaction (Q1021256) (← links)
- Equilibrium variance risk premium in a cost-free production economy (Q1624128) (← links)
- Recursive stochastic linear-quadratic optimal control and nonzero-sum differential game problems with random jumps (Q1625492) (← links)
- Necessary and sufficient optimality conditions for regular-singular stochastic differential games with asymmetric information (Q1626506) (← links)
- A stochastic maximum principle for a Markov regime-switching jump-diffusion model with delay and an application to finance (Q1626520) (← links)
- The risk-neutral stochastic volatility in interest rate models with jump-diffusion processes (Q1631415) (← links)
- Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps (Q1640054) (← links)
- Dynamic tax evasion with audits based on visible consumption (Q1654110) (← links)
- Stochastic continuous time growth models that allow for closed form solutions (Q1654174) (← links)
- Costly sequential experimentation and project valuation with an application to health technology assessment (Q1655657) (← links)
- Alpha-robust mean-variance reinsurance-investment strategy (Q1656367) (← links)
- Stabilization of the stochastic jump diffusion systems by state-feedback control (Q1659433) (← links)
- An implicit method for the finite time horizon Hamilton-Jacobi-Bellman quasi-variational inequalities (Q1664195) (← links)
- The jump size distribution of the commodity spot price and its effect on futures and option prices (Q1667549) (← links)
- A multiplicative seasonal component in commodity derivative pricing (Q1676014) (← links)
- Optimal investment in markets with over and under-reaction to information (Q1679555) (← links)
- Taylor approximation of stochastic functional differential equations with the Poisson jump (Q1682171) (← links)
- Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index (Q1682600) (← links)
- Maximum principles of Markov regime-switching forward-backward stochastic differential equations with jumps and partial information (Q1686663) (← links)
- Stochastic maximum principle with Lagrange multipliers and optimal consumption with Lévy wage (Q1689707) (← links)
- Time-consistent stopping under decreasing impatience (Q1691445) (← links)
- Multidimensional investment problem (Q1702880) (← links)
- Linear Volterra backward stochastic integral equations (Q1713471) (← links)
- Exponential stability of stochastic systems with delay and Poisson jumps (Q1719341) (← links)
- Stochastic maximum principle for partial information optimal control problem of forward-backward systems involving classical and impulse controls (Q1724140) (← links)
- Moments of the asset price for the Barndorff-Nielsen and Shephard model (Q1728116) (← links)
- An approximation scheme for impulse control with random reaction periods (Q1728360) (← links)
- Joint time-state generalized semiconcavity of the value function of a jump diffusion optimal control problem (Q1729834) (← links)
- Existence, nonexistence and multiplicity results for nonlocal Dirichlet problems (Q1736191) (← links)
- Analytical solution for an investment problem under uncertainties with shocks (Q1751925) (← links)
- A Fokker-Planck control framework for stochastic systems (Q1755915) (← links)
- \(L^{1}\) semigroup generation for Fokker-Planck operators associated to general Lévy driven sdes (Q1791651) (← links)
- Tax audits, fines and optimal tax evasion in a dynamic context (Q1925911) (← links)
- Sharp Green function estimates for \(\Delta + \delta ^{\alpha /2}\) in \(C^{1,1}\) open sets and their applications (Q1928867) (← links)
- Multisource Bayesian sequential binary hypothesis testing problem (Q1945073) (← links)
- Stochastic Stackelberg equilibria with applications to time-dependent newsvendor models (Q1994259) (← links)
- Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs (Q2015480) (← links)
- Optimal dividends in the dual model under transaction costs (Q2015482) (← links)
- Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model (Q2015643) (← links)
- Simplified stochastic calculus with applications in economics and finance (Q2030297) (← links)
- Local versus nonlocal elliptic equations: short-long range field interactions (Q2037290) (← links)
- Lévy-Ito models in finance (Q2039766) (← links)
- Numerical analysis and applications of Fokker-Planck equations for stochastic dynamical systems with multiplicative \(\alpha \)-stable noises (Q2049852) (← links)
- \(\mathscr{H}_-\) index for Itô stochastic systems with Poisson jump (Q2068234) (← links)
- Regression Monte Carlo for impulse control (Q2094845) (← links)