scientific article; zbMATH DE number 1066231

MaRDI QIDQ4357417zbMATH OpenFDO

Authors H. Mete Soner

Publication date 14 April 1998

zbMATH Keywords

Bellman's equationcontrolled diffusion processesmathematical financeportfolio problemviscosity solutions

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Recommendations

• Controlled Markov processes and viscosity solutions
• scientific article; zbMATH DE number 158461
• scientific article; zbMATH DE number 1341814

Cited in

(17)

• Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs
• Optimal consumption in a stochastic Ramsey model with Cobb-Douglas production function
• Viscosity solutions of integro-differential equations and passport options in a jump-diffusion model
• Stochastic processes, finance and control. A Festschrift in honor of Robert J. Elliott.
• On a variational inequality associated with a stopping game combined with a control
• Variational Inequalities for Combined Control and Stopping Game
• Problems of mathematical finance by stochastic control methods
• scientific article; zbMATH DE number 4050701 (Why is no real title available?)
• Optimal stochastic control, stochastic target problems, and backward SDE.
• scientific article; zbMATH DE number 1341814 (Why is no real title available?)
• OPTIMAL SELLING STRATEGY WITH A LARGE BLOCK OF STOCK
• The optimal execution strategy of employee stock options
• Stochastic Control Theory
• Applied stochastic control of jump diffusions
• Double-loop importance sampling for McKean-Vlasov stochastic differential equation
• Markov process functionals in finance and insurance
• On some recent aspects of stochastic control and their applications

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 Q4357417)