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Optimal Control Problem Associated with Jump Processes
15 references·0 citing·43 second hop
Optimal Control Problem Associated with Jump Processes (2004)Optimal Control Problem Associated with J…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Smooth Solutions to Optimal Investment Models with Stochastic Volatilities and Portfolio Constraints (2002)Smooth Solutions to Optimal I…Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach (2001)Optimal portfolio selection w…Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution (2001)Optimal portfolio management …Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs (2001)Optimal consumption and portf…Application of Generalized Hyperbolic Lévy Motions to Finance (2001)Application of Generalized Hy…Processes of normal inverse Gaussian type (1997)Processes of normal inverse G…Optimal Stopping, Free Boundary, and American Option in a Jump-Diffusion Model (1997)Optimal Stopping, Free Bounda…On an Investment-Consumption Model with Transaction Costs (1996)On an Investment-Consumption …Hyperbolic Distributions in Finance (1995)Hyperbolic Distributions in F…Optimal Consumption and Portfolio Rules with Durability and Local Substitution (1993)Optimal Consumption and Portf…Reflected Diffusion Processes with Jumps (1985)Reflected Diffusion Processes…Controlled Diffusion Processes (1980)Controlled Diffusion ProcessesControlled Stochastic Processes (1979)Controlled Stochastic Process…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…The Pricing of Options and Corporate Liabilities (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling (1997)The variation of certain speculative prices (1997)New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model (1998)Copulas for Finance - A Reading Guide and Some Applications (2007)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)Theory of Rational Option Pricing (1973)Numerical Analysis of American Option Pricing in a Jump-Diffusion Model (1997)Incompleteness of markets driven by a mixed diffusion (2000)Using Brownian Bridge for Fast Simulation of Jump-Diffusion Processes and Barrier Options (2002)Theory of rational option pricing (2005)The Pricing of Options on Assets with Stochastic Volatilities (1987)Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random (2004)A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets (2005)Controlled Markov Processes and Viscosity Solutions (2005)On some recent aspects of stochastic control and their applications (2005)Portfolio Selection with Transaction Costs (1990)Asymptotic analysis for optimal investment and consumption with transaction costs (2004)Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns (2005)Dynamic Portfolio Optimization with Transaction Costs: Heuristics and Dual Bounds (2011)A Theory of the Term Structure of Interest Rates (1985)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Lévy Processes in Finance: Theory, Numerics, and Empirical Facts (2000)A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour (2004)Characterization of dependence of multidimensional Lévy processes using Lévy copulas (2006)Brownian Motion and Stochastic Calculus (2007)Stochastic Differential Utility (1992)Martingale Methods in Financial Modelling (1997)Arbitrage Theory in Continuous Time (1998)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Estimating quadratic variation using realized variance (2002)Stochastic Volatility for Lévy Processes (2003)Time-changed Lévy processes and option pricing (2003)Instantaneous Control of Brownian Motion (1983)Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data (1988)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)
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References

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  • 1985

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Reflected Diffusion Processes with Jumps
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