An Application of Stochastic Control Theory to Financial Economics
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Cited in
(64)- State-space approaches for modelling and control in financial engineering. Systems theory and machine learning methods
- Optimal portfolio and consumption rule with a CIR model under HARA utility
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- Optimal consumption and portfolio decision with convertible bond in affine interest rate and Heston's SV framework
- An investment and consumption problem with CIR interest rate and stochastic volatility
- A dynamic Heston local-stochastic volatility model and Legendre transform dual-asymptotic solution for optimal investment strategy problems with CARA utility
- A stochastic control model of investment and consumption with applications to financial economics
- On the pricing of Asian options with geometric average of American type with stochastic interest rate: a stochastic optimal control approach
- Consumption in incomplete markets
- Portfolio optimization for assets with stochastic yields and stochastic volatility
- A stochastic dynamic programming approach based on bounded rationality and application to dynamic portfolio choice
- H-J-B equations of optimal consumption-investment and verification theorems
- Consumption and investment with interest rate risk
- Stability of hybrid pantograph stochastic functional differential equations
- Financial risk contagion and optimal control
- Optimal consumption-investment under partial information in conditionally log-Gaussian models
- Optimal investment in credit derivatives portfolio under contagion risk
- Stochastic processes, finance and control. A Festschrift in honor of Robert J. Elliott.
- scientific article; zbMATH DE number 5896874 (Why is no real title available?)
- Stochastic optimal control with applications in financial engineering
- An optimal portfolio problem in a defaultable market
- scientific article; zbMATH DE number 4207175 (Why is no real title available?)
- An infinite time horizon portfolio optimization model with delays
- Optimal consumption problem in the Vasicek model
- Risk minimizing strategies for a portfolio of interest-rate securities
- Problems of mathematical finance by stochastic control methods
- OPTIMAL PORTFOLIOS WITH STOCHASTIC SHORT RATE: PITFALLS WHEN THE SHORT RATE IS NON-GAUSSIAN OR THE MARKET PRICE OF RISK IS UNBOUNDED
- Optimal investment and consumption with default risk: HARA utility
- scientific article; zbMATH DE number 4010171 (Why is no real title available?)
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- scientific article; zbMATH DE number 2015387 (Why is no real title available?)
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- A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
- An optimal consumption problem for general factor models
- Optimal debt ratio and dividend strategies for an insurer under a regime-switching model
- Optimal debt ratio and dividend payment strategies with reinsurance
- Optimal debt ratio and consumption strategies in financial crisis
- A time-changed stochastic control problem and its maximum principle maximum principle
- Stabilization of stochastic McKean-Vlasov equations with feedback control based on discrete-time state observation
- Optimal investment strategy with constant absolute risk aversion utility under an extended CEV model
- Optimal consumption-investment strategy under the vasicek model: HARA utility and Legendre transform
- Optimal investment problem with complete memory on an infinite time horizon
- An optimal consumption and investment problem with partial information
- A stochastic control model of investment, production, and consumption on a finite horizon
- Dynamic portfolio optimization with a defaultable security and regime-switching
- An application of stochastic optimization theory to institutional finance
- A stochastic control model of investment, production and consumption
- scientific article; zbMATH DE number 5031964 (Why is no real title available?)
- STOCHASTIC PORTFOLIO OPTIMIZATION WITH LOG UTILITY
- Application of stochastic flows to optimal portfolio strategies
- Portfolio rules with log consumption utility and Cox-Ingersoll-Ross interest rate
- Stochastic control methods for optimization problems in Ornstein-Uhlenbeck spread models
- An optimal portfolio model with stochastic volatility and stochastic interest rate
- Optimal investment and consumption strategies for an investor with stochastic economic factor in a defaultable market
- Optimal investment strategy under the CEV model with stochastic interest rate
- A long-term optimal consumption and investment problem with partial information
- The Legendre transform-dual-asymptotic solution for optimal investment strategy with random incomes
- Nonconcave stochastic optimal control in finite discrete time under model uncertainty
- Boundary control of stochastic partial differential systems driven by Lévy noise
- Optimal consumption and investment problem using a power utility function under a general nonlinear stochastic factor model
- Portfolio optimization models on infinite-time horizon
- Legendre transform-dual solution for investment and consumption problem under the Vasicek model
- Robust consumption-investment problem on infinite horizon
- Stochastic optimal control of ultradiffusion processes with application to dynamic portfolio management
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