DOI10.1007/978-3-030-02781-0zbMath1422.93001OpenAlexW4213199439MaRDI QIDQ5915957
Bernt Øksendal, Agnès Sulem
Publication date: 25 February 2019
Published in: Universitext (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-030-02781-0
Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate,
Optimal Stopping, Randomized Stopping, and Singular Control with General Information Flow,
Hamilton-Jacobi-Bellman-Isaacs equation for rational inattention in the long-run management of river environments under uncertainty,
Hybrid optimal impulse control,
Mean-variance problem for an insurer with dependent risks and stochastic interest rate in a jump-diffusion market,
Mathematical and numerical analyses of a stochastic impulse control model with imperfect interventions,
Mean-Variance Portfolio Selection in Contagious Markets,
Robust optimal investment and reinsurance for an insurer with inside information,
Designing cost-efficient inspection schemes for stochastic streamflow environment using an effective Hamiltonian approach,
Stochastic streamflow and dissolved silica dynamics with application to the worst-case long-run evaluation of water environment,
Limit equations of adaptive Erlangization and their application to environmental management,
Modeling and computation of cost-constrained adaptive environmental management with discrete observation and intervention,
Stochastic optimization of a mixed moving average process for controlling non-Markovian streamflow environments,
Stochastic Fokker–Planck Equations for Conditional McKean–Vlasov Jump Diffusions and Applications to Optimal Control,
SPDEs with space interactions and application to population modelling,
From irrevocably modulated filtrations to dynamical equations over random networks,
Existence and uniqueness of solutions to backward 2D and 3D stochastic convective Brinkman-Forchheimer equations forced by Lévy noise,
Stability and mean growth rate of stochastic Solow model driven by jump-diffusion process,
Time‐average stochastic control based on a singular local Lévy model for environmental project planning under habit formation,
Impulse control of conditional McKean-Vlasov jump diffusions,
Stressing dynamic loss models,
Reflected generalized discontinuous BSDEs with rcll barrier and an obstacle problem of IPDE with nonlinear Neumann boundary conditions,
Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach,
Singular control of SPDEs with space-mean dynamics,
Mean-square convergence and stability of compensated stochastic theta methods for jump-diffusion SDEs with super-linearly growing coefficients,
Nonlocal equations with gradient constraints,
Rates of convergence in periodic homogenization of nonlocal Hamilton–Jacobi–Bellman equations,,
Minimal Kullback–Leibler Divergence for Constrained Lévy–Itô Processes,
Principal eigenvalues of fully nonlinear integro-differential elliptic equations with a drift term,
Regime-switching constrained viscosity solutions approach for controlling dam-reservoir systems,
Stochastic maximum principle of mean-field jump-diffusion systems with mixed delays,
Explicit Representations for Utility Indifference Prices,
HJB and Fokker-Planck equations for river environmental management based on stochastic impulse control with discrete and random observation,
A simple model on streamflow management with a dynamic risk measure,
Nonzero-sum impulse games with regime switching,
An Elliptic Boundary Value Problem with Fractional Nonlinearity,
On stochastic control for time changed Lévy dynamics,
Modeling and computation of an integral operator Riccati equation for an infinite-dimensional stochastic differential equation governing streamflow discharge,
One kind of linear-quadratic zero-sum stochastic differential game with jumps
