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Controlling a Process to a Goal in Finite Time
3 references·3 citing·24 second hop
Controlling a Process to a Goal in Finite Time (1989)Controlling a Process to a Goal in Finite…Minimizing or Maximizing the Expected Time to Reach Zero (1987)Minimizing or Maximizing the …Continuous-Time Red and Black: How to Control a Diffusion to a Goal (1985)Continuous-Time Red and Black…Stochastic Differential Equations and Applications (1976)Stochastic Differential Equat…Purchasing Term Life Insurance to Reach a Bequest Goal While Consuming (2016)Purchasing Term Life Insuranc…Optimally investing to reach a bequest goal (2016)Optimally investing to reach …Optimal investment to minimize the probability of drawdown (2016)Optimal investment to minimiz…Control of a Solution of a Stochastic Integral Equation (1972)An equilibrium characterization of the term structure (1977)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Modeling Term Structures of Defaultable Bonds (1999)Introduction to Stochastic Integration (2006)Construction of Equivalent Stochastic Differential Equation Models (2008)Controlled Diffusion Processes (1980)The return on investment from proportional portfolio strategies (1998)Optimal arbitrage under model uncertainty (2011)THE INCENTIVES OF HEDGE FUND FEES AND HIGH‐WATER MARKS (2013)Stochastic Differential Equations and Diffusion Processes (1983)Risk-Constrained Dynamic Active Portfolio Management (2000)Optimal control of risk exposure, reinsurance and investments for insurance portfolios (2004)Stochastic Differential Equations (2006)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Beating a moving target: Optimal portfolio strategies for outperforming a stochastic benchmark (1999)Optimal stopping and free-boundary problems (2006)Optimal consumption, portfolio and life insurance rules for an uncertain lived individual in a continuous time model (1975)Methods of Mathematical Finance (1998)On minimizing the ruin probability by investment and reinsurance (2002)Brownian Motion and Stochastic Calculus (1998)Brownian Motion and Stochastic Calculus (2007)Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure (2018)Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle (2020)
this work references cited by second hop

References

  • 1976Stochastic Differential Equations and Applications1,411 cited
  • 1985Continuous-Time Red and Black: How to Control a Diffusion to a Goal93 cited
  • 1987Minimizing or Maximizing the Expected Time to Reach Zero66 cited

Cited by

  • 2016Optimal investment to minimize the probability of drawdown25 cited
  • 2016Optimally investing to reach a bequest goal22 cited
  • 2016Purchasing Term Life Insurance to Reach a Bequest Goal While Consuming15 cited

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