scientific article; zbMATH DE number 5283952
From MaRDI portal
Publication:3501239
Recommendations
- Exact solution of an optimal control problem of investment in a diffusion model
- Diffusion approximation and optimal investment for modern risk model
- Optimal investment in multidimensional Markov-modulated affine models
- On Optimization of Long-Term Irreversible Investments in a Diffusion Model
- Optimization of investment-dividend problem in a diffusion model with transaction costs and investment constraints
- Asymptotically optimal investment for risk model with random income and diffusions
- scientific article; zbMATH DE number 2110605
- scientific article; zbMATH DE number 2218946
- Optimal investment with high-watermark fee in a multidimensional jump diffusion model
Cited in
(14)- Dynamic investment strategies to reaction-diffusion systems based upon stochastic differential utilities
- Multidimensional investment problem
- Saddle points for maximin investment problems with observable but non-predictable parameters: solution via heat equation†
- An optimal investment portfolios model among different regions with investment sunk cost
- On Optimization of Long-Term Irreversible Investments in a Diffusion Model
- scientific article; zbMATH DE number 6533721 (Why is no real title available?)
- Solution of a two-dimensional stochastic investment problem
- The optimal investment portfolio policy based on the stochastic volatility
- Optimal selection portfolio problem: a semi-linear PDE approach
- Optimal stopping problem and investment models
- Optimal investment for all time horizons and Martin boundary of space-time diffusions
- Optimal Solution of Investment Problems Via Linear Parabolic Equations Generated by Kalman Filter
- scientific article; zbMATH DE number 1538585 (Why is no real title available?)
- Non-smooth analysis method in optimal investment-BSDE approach
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3501239)