scientific article; zbMATH DE number 3793150

Publication date 1982

Existence of optimal solutions to problems involving randomness (49J55) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic analysis (60Hxx) Diffusion processes (60J60) Stochastic systems and control (93Exx)

Cited in

(only showing first 100 items - show all)

Optimal time to change premiums
Robust optimal portfolio choice under Markovian regime-switching model
Option pricing when the regime-switching risk is priced
Risk-hedging in real estate markets
Ruin problems and myopic portfolio optimization in continuous trading
The optimal control of a two-parameter jump process
The probabilistic structure of controlled diffusion processes
Stochastic multiplicative measures, generalized Markov semigroups, and group-valued stochastic processes and fields
Risk measurement in semimartingale models with multiple consumption goods
A diffusion limit for a class of randomly-growing binary trees
A criterion for filtering in semimartingale models
A special semimartingale derivation of smoothing and prediction equations
Random time change and an integral representation for marked stopping times
Convergence of weighted sums of random functions in \(D[0,1]\)
Option hedging for semimartingales
Martingale representation and hedging policies
Integration by parts for the single jump process
A partially observed control problem for Markov chains
Generalized solution in singular stochastic control: The nondegenerate problem
On Bayesian nonparametric estimation for stochastic processes
Optimal estimation for semimartingale neuronal models
On continuous local times for functions and random processes. II
Quasi-integrals and stochastic integration along sample paths
Structural properties of Markov chains with weak and strong interactions
Cointegrated processes with infinite variance innovations
State-dependent stochastic networks. I: Approximation and applications with continuous diffusion limits
Estimating the implicit interest rate of a risky asset
Rate conservation laws: A survey
Control of partially observed diffusions
Control of a hybrid conditionally linear Gaussian process
Convex duality for finite-fuel problems in singular stochastic control
Identification and control in the partially known Merton portfolio selection model
Integration by parts for a Lie group valued Brownian motion
Control of dynamic routing in networks with Markov jump parameters
Control of the transition probabilities of input rates of a flow in a network
How to count and guess well: Discrete adaptive filters
Hybrid estimation algorithms
Some recent results in finitely additive white noise theory
A survey of stochastic continuous time models of the term structure of interest rates
An infinite expansion for nonlinear filtering
Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion
Forecasting point and continuous processes: Prequential analysis
Controlling inventory when prices fluctuate randomly
Filters for estimating Markov modulated Poisson processes and image-based tracking
Filtering for a signal given by a linear stochastic retarded differential equation
Hybrid estimation algorithms. II
Corporate insurance and managerial incentives
On continuous local times for functions and stochastic processes
Consumption-investment problem with subsistence consumption, bankruptcy, and random market coefficients
Multiplicator space and complemented subspaces of rearrangement invariant space.
Function space integration for annuities.
A complete explicit solution to the log-optimal portfolio problem.
Asymptotic efficiency in dynamic principal-agent problems
Binomial valuation of lookback options
Valuation and martingale properties of shadow prices: an exposition
Statistical inference in regression with heavy-tailed integrated variables
Integration by parts and martingale representation for a Markov chain
On the consistent filtering of convergent semimartingales
Robustness of the nonlinear filter: the correlated case.
Filtering via estimating functions
A central limit theorem for singularly perturbed nonstationary finite state Markov chains
A simple characterization of optimal predictors for L^ 1-ARMA processes
An explicit approach to the \(\Lambda\)-operator and the H-theorem in the Prigogine theory of irreversibility
A general problem of an optimal equivalent change of measure and contingent claim pricing in an incomplete market.
On the maximum of a subcritical branching process in a random environment.
Viable prices in financial markets with solvency constraints
Consistent parameter estimation for partially observed diffusions with small noise
Risk-sensitive and risk-neutral control for continuous-time hidden Markov models
Optimal stopping for dynamic convex risk measures
Backward stochastic difference equations for a single jump process
Kalman type filter under stationary noises
A BSDE approach to risk-based asset allocation of pension funds with regime switching
Numerical method for optimal stopping of piecewise deterministic Markov processes
Causality between stopped filtrations and some applications
Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
Stochastic Volterra integral equations with jumps and the strong superconvergence of the Euler-Maruyama approximation
Backward stochastic partial differential equations related to utility maximization and hedging
Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions
Optimal mean-variance investment/reinsurance with common shock in a regime-switching market
Stopped hyperfinite filtrations
Block trading: building up a stock position under a regime switching model
Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation
Filtering and change point estimation for hidden Markov-modulated Poisson processes
A first step to implement Gillespie's algorithm with rejection sampling
Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model
Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model
Stochastic fractional differential equations: modeling, method and analysis
Optimal asset-liability management for an insurer under Markov regime switching jump-diffusion market
Dynamic agency with persistent observable shocks
On linear stochastic equations of optional semimartingales and their applications
Partially observed nonlinear risk-sensitive optimal stopping control for nonlinear discrete-time systems
Backward stochastic differential equations associated to jump Markov processes and applications
Incomplete information equilibria: separation theorems and other myths
Robust dynamics and control of a partially observed Markov chain
Max-plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance
Filtering of a reflected Brownian motion with respect to its local time
A note on jump-type Fleming--Viot processes
Robust control and model misspecification
Pricing currency derivatives with Markov-modulated Lévy dynamics
On control of two-scale stochastic systems with linear dynamics in the fast variables

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