scientific article; zbMATH DE number 2134185
zbMATH Open1076.93001MaRDI QIDQ3159347FDOQ3159347
Authors: Nizar Touzi 
Publication date: 15 February 2005
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- A stochastic control problem and related free boundaries in finance
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- Outperforming the market portfolio with a given probability
- Stochastic representations for solutions to parabolic Dirichlet problems for nonlocal Bellman equations
- Utility-deviation-risk portfolio selection
- Regularity properties in a state-constrained expected utility maximization problem
- Stochastic accelerated alternating direction method of multipliers with importance sampling
- Stochastic processes, finance and control. A Festschrift in honor of Robert J. Elliott.
- On the controllability problem arising in financial mathematics
- Jump-diffusion asset-liability management via risk-sensitive control
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