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Rates of Convergence of Numerical Methods for Controlled Regime-Switching Diffusions with Stopping Times in the Costs
6 references·1 citing·33 second hop
Rates of Convergence of Numerical Methods for Controlled Regime-Switching Diffusions with Stopping Times in the Costs (2009)Rates of Convergence of Numerical Methods…Numerical methods for controlled regime-switching diffusions and regime-switching jump diffusions (2006)Numerical methods for control…Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Markowitz's Mean-Variance Por…Stock Trading: An Optimal Selling Rule (2001)Stock Trading: An Optimal Sel…Consistency issues for numerical methods for variance control, with applications to optimization in finance (1999)Consistency issues for numeri…Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Numerical Methods for Stochas…Some Estimates for Finite Difference Approximations (1989)Some Estimates for Finite Dif…Weak Convergence Methods for Approximation of the Evaluation of Path-Dependent Functionals (2013)Weak Convergence Methods for …MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Stochastic differential equations with reflecting boundary conditions (1984)Martingale Methods in Financial Modelling (1997)An introduction to stochastic partial differential equations (2006)Dynamic modeling and control of supply chain systems: A review (2007)Menu Costs and Phillips Curves (2007)Portfolio Selection: Efficient Diversification of Investments (1959)Stochastic Controls (1999)Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits (2004)CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)Controlled Markov Processes and Viscosity Solutions (2005)A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance (2017)Stochastic differential equations and applications (2008)Mathematical Methods for Financial Markets (2010)Hybrid Equity Swap, Cap, and Floor Pricing Under Stochastic Interest by Markov Chain Approximation (2022)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Methods of Mathematical Finance (1998)Derivatives in Financial Markets with Stochastic Volatility (2000)Closed-Form Solutions for Perpetual American Put Options with Regime Switching (2004)Probability Methods for Approximations in Stochastic Control and for Elliptic Equations (1977)Controlled Stochastic Processes (1979)Controlled Diffusion Processes (1980)Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions (2008)A Finite Element Like Scheme for Integro-Partial Differential Hamilton–Jacobi–Bellman Equations (2009)Stochastic Approximation and Recursive Algorithms and Applications (2003)Convergence of Markov chain approximation on generalized HJB equation and its applications (2007)Numerical Solutions for Stochastic Differential Games With Regime Switching (2008)Numerical solution of stochastic differential equations (2016)Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models (2019)Portfolio Selection with Transaction Costs (1990)Dynamic Asset Pricing Theory. (1993)Jump-Diffusions with Controlled Jumps: Existence and Numerical Methods (2000)Minimizing the probability of lifetime ruin under stochastic volatility (2011)
this work references cited by second hop

References

  • 1990Numerical Methods for Stochastic Control Problems in Continuous Time1,421 cited
  • 2003Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model507 cited
  • 2001Stock Trading: An Optimal Selling Rule297 cited
  • 2006Numerical methods for controlled regime-switching diffusions and regime-switching jump diffusions60 cited
  • 1989Some Estimates for Finite Difference Approximations54 cited
  • 1999Consistency issues for numerical methods for variance control, with applications to optimization in finance21 cited

Cited by

  • 2013Weak Convergence Methods for Approximation of the Evaluation of Path-Dependent Functionals19 cited

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