Pages that link to "Item:Q1018984"

The following pages link to Continuous-time stochastic control and optimization with financial applications (Q1018984):

Displaying 50 items.

• An optimal trading problem in intraday electricity markets (Q253117) (← links)
• Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance (Q256112) (← links)
• Optimal switching strategy of a mean-reverting asset over multiple regimes (Q259389) (← links)
• Facelifting in utility maximization (Q261918) (← links)
• Optimal control for stochastic delay systems under model uncertainty: a stochastic differential game approach (Q262012) (← links)
• Optimal inventory control with path-dependent cost criteria (Q271839) (← links)
• A stochastic flows approach for asset allocation with hidden economic environment (Q274851) (← links)
• Separation results for multi-product inventory hedging problems (Q286002) (← links)
• An irreversible investment problem with maintenance expenditure on a finite horizon: free boundary analysis (Q289517) (← links)
• Stochastic Perron for stochastic target games (Q292921) (← links)
• Backward SDE representation for stochastic control problems with nondominated controlled intensity (Q292927) (← links)
• Optimal liquidation in a finite time regime switching model with permanent and temporary pricing impact (Q316889) (← links)
• Free boundary problem of Barenblatt equation in stochastic control (Q316890) (← links)
• Optimal switching at Poisson random intervention times (Q316899) (← links)
• Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach (Q322571) (← links)
• Liquidity management with decreasing returns to scale and secured credit line (Q331354) (← links)
• Nonlinear reserving in life insurance: aggregation and mean-field approximation (Q343953) (← links)
• Probabilistic approach to viscosity solutions of the Cauchy problems for systems if fully nonlinear parabolic equations (Q357232) (← links)
• Mean-variance hedging with oil futures (Q377447) (← links)
• Drift dependence of optimal trade execution strategies under transient price impact (Q377452) (← links)
• Time discretization and quantization methods for optimal multiple switching problem (Q424519) (← links)
• Optimal investment, stochastic labor income and retirement (Q426617) (← links)
• Consumption utility-based pricing and timing of the option to invest with partial information (Q431904) (← links)
• Control improvement for jump-diffusion processes with applications to finance (Q434360) (← links)
• Regularity of the American put option in the Black-Scholes model with general discrete dividends (Q444350) (← links)
• Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment (Q457188) (← links)
• A class of non-zero-sum stochastic differential investment and reinsurance games (Q466272) (← links)
• Interactive diffusions for global optimization (Q481772) (← links)
• Proving regularity of the minimal probability of ruin via a game of stopping and control (Q484214) (← links)
• Sufficient stochastic maximum principle for discounted control problem (Q486238) (← links)
• Liquidity risk and optimal dividend/investment strategies (Q506385) (← links)
• Optimal asset-liability management with liquidity constraints and stochastic interest rates in the expected utility framework (Q508009) (← links)
• The obstacle problem for the \(p\)-Laplacian via optimal stopping of tug-of-war games (Q510269) (← links)
• The stochastic solution to a Cauchy problem for degenerate parabolic equations (Q517967) (← links)
• Dynamic Markov bridges motivated by models of insider trading (Q550151) (← links)
• Building up an illiquid stock position subject to expected fund availability: optimal controls and numerical methods (Q681935) (← links)
• Portfolio optimization for a large investor under partial information and price impact (Q684140) (← links)
• Approximations and asymptotics of upper hedging prices in multinomial models (Q692029) (← links)
• Optimal control of molecular dynamics using Markov state models (Q715243) (← links)
• Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting (Q737168) (← links)
• Infinite horizon stopping problems with (nearly) total reward criteria (Q744226) (← links)
• Optimal expulsion and optimal confinement of a Brownian particle with a switching cost (Q744235) (← links)
• A new numerical method for 1-D backward stochastic differential equations without using conditional expectations (Q778246) (← links)
• Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space (Q825596) (← links)
• Optimality conditions in variational form for non-linear constrained stochastic control problems (Q827552) (← links)
• Time-inconsistent stochastic optimal control problems: a backward stochastic partial differential equations approach (Q828998) (← links)
• A viscosity solution method for optimal stopping problems with regime switching (Q829599) (← links)
• Linear quadratic mean field social optimization: Asymptotic solvability and decentralized control (Q832629) (← links)
• An optimal consumption problem in finite time with a constraint on the ruin probability (Q889622) (← links)
• On the smoothness of value functions and the existence of optimal strategies in diffusion models (Q900609) (← links)