Thomas Lim

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Discretization and machine learning approximation of BSDEs with a constraint on the gains-process Monte Carlo Methods and Applications	2021-06-09	Paper
Optimal risk management problem of natural resources: application to oil drilling Annals of Operations Research	2021-05-05	Paper
Regulation of Renewable Resource Exploitation SIAM Journal on Control and Optimization	2020-03-02	Paper
Regulation of Renewable Resource Exploitation SIAM Journal on Control and Optimization	2020-03-02	Paper
Optimal exploitation of a resource with stochastic population dynamics and delayed renewal Journal of Mathematical Analysis and Applications	2019-07-30	Paper
Indifference fee rate for variable annuities Applied Mathematical Finance	2018-09-06	Paper
Some existence results for advanced backward stochastic differential equations with a jump time ESAIM: Proceedings and Surveys	2018-03-07	Paper
Portfolio optimization in a default model under full/partial information Probability in the Engineering and Informational Sciences	2017-09-19	Paper
Optimization problem under change of regime of interest rate Stochastics and Dynamics	2016-08-23	Paper
Max-min optimization problem for variable annuities pricing International Journal of Theoretical and Applied Finance	2016-02-03	Paper
A decomposition approach for the discrete-time approximation of FBSDEs with a jump Random Operators and Stochastic Equations	2015-08-07	Paper
Progressive enlargement of filtrations and backward stochastic differential equations with jumps Journal of Theoretical Probability	2014-11-17	Paper
Mean-variance hedging on uncertain time horizon in a market with a jump Applied Mathematics and Optimization	2014-03-24	Paper
Bid-Ask Spread Modelling, a Perturbation Approach Seminar on Stochastic Analysis, Random Fields and Applications VII	2014-02-19	Paper
A decomposition approach for the discrete-time approximation of BSDEs with a jump II: the quadratic case	2012-11-27	Paper
Exponential utility maximization in an incomplete market with defaults Electronic Journal of Probability	2012-06-22	Paper
A decomposition approach for the discrete-time approximation of FBSDEs with a jump I : the Lipschitz case	2011-03-15	Paper

Research outcomes over time

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