Found 21 Documents (Results 1–21)
Ergodic risk-sensitive stochastic differential games with reflecting diffusions in a bounded domain. (English) Zbl 1475.91022
MSC:
91A15
Optimal dynamic reinsurance strategies in multidimensional portfolio. (English) Zbl 1460.91232
Reviewer: George Stoica (Saint John)
A general optimal multiple stopping problem with an application to swing options. (English) Zbl 1327.60098
Probabilistic solutions for a class of path-dependent Hamilton-Jacobi-Bellman equations. (English) Zbl 1270.60068
Portfolio optimization with stochastic volatilities: a backward approach. (English) Zbl 1244.91086
Reviewer: Stefan Tappe (Hannover)
Optimal reinsurance and dividend strategies under the Markov-modulated insurance risk model. (English) Zbl 1219.93148
Stochastic optimal control for the stochastic heat equation with exponentially growing coefficients and with control and noise on a subdomain. (English) Zbl 1196.60124
Reviewer: Constantin Vârsan (Bucureşti)
An optimal control problem associated with SDEs driven by Lévy-type processes. (English) Zbl 1144.60036
Reviewer: Henri Schurz (Carbondale)
Finite difference approximations for stochastic control systems with delay. (English) Zbl 1147.93027
Stochastic differential games with multiple modes and applications to portfolio optimization. (English) Zbl 1119.49030
A note on Merton’s portfolio selection problem for the Schwartz mean-reversion model. (English) Zbl 1074.60068
Reviewer: Yuliya S. Mishura (Kyïv)
Homogenization of multivalued partial differential equations via reflected backward stochastic differential equations. (English) Zbl 1037.60059
Reviewer: Rainer Buckdahn (Brest)
Characterization of stochastic viability of any nonsmooth set involving its generalized contingent curvature. (English) Zbl 1030.60045
Reviewer: Tran Nhu Pham (Hanoi)
When are HJB-equations in stochastic control of delay systems finite dimensional? (English) Zbl 1052.60051
Reviewer: Maria Stolarczyk (Katowice)
Cauchy problem for non-autonomous Kolmogorov equations. (English) Zbl 0881.60071
Reviewer: G.Orman (Braşov)
On optimal correction problems with partial information. (English) Zbl 0561.93068
Reviewer: P.L.Lions
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