scientific article; zbMATH DE number 14969
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Publication:3977319
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(31)- Optimal investment and consumption for an insurer with high-watermark performance fee
- Continuous dependence estimates for viscosity solutions of integro-PDEs
- Viscosity solutions of nonlinear integro-differential equations
- Uniqueness for integro-PDE in Hilbert spaces
- Backward reachability approach to state-constrained stochastic optimal control problem for jump-diffusion models
- On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models
- Aleksandrov-Bakelman-Pucci type estimates for integro-differential equations
- Stochastic representations for solutions to parabolic Dirichlet problems for nonlocal Bellman equations
- Optimal dividend payments for a two-dimensional insurance risk process
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- Fractal first-order partial differential equations
- Convergence in multiscale financial models with non-Gaussian stochastic volatility
- High frequency trading and asymptotics for small risk aversion in a Markov renewal model
- Consumption-investment problem with transaction costs for Lévy-driven price processes
- Viscosity solutions of integro-differential equations for nonruin probabilities
- Viscosity solutions for controlled McKean-Vlasov jump-diffusions
- Integro-PDE in Hilbert spaces: existence of viscosity solutions
- Fractional semi-linear parabolic equations with unbounded data
- The optimal control problem associated with multi-valued stochastic differential equations with jumps
- Optimal selling of an asset with jumps under incomplete information
- Mean-variance problem for an insurer with default risk under a jump-diffusion risk model
- Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model
- Optimal market making under partial information with general intensities
- Coupling Lévy measures and comparison principles for viscosity solutions
- Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions
- Large‐scale asymptotics of velocity‐jump processes and nonlocal Hamilton–Jacobi equations
- Markov chain approximation for Hamilton-Jacobi-Bellman equation with absorbing boundary
- Comparison principle for general nonlocal Hamilton-Jacobi equations with superlinear gradient
- Dam management in the era of climate change
- Uniqueness of viscosity solutions for a class of integro-differential equations
- Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions
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