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Numerical solution of the Hamilton-Jacobi-Bellman equation for stochastic optimal control problems
5 references·2 citing·22 second hop
Numerical solution of the Hamilton-Jacobi-Bellman equation for stochastic optimal control problems (2005)Numerical solution of the Hamilton-Jacobi…Risk sensitive asset allocation (2000)Risk sensitive asset allocati…Stochastic Controls (1999)Stochastic ControlsStochastic controls : Hamiltonian systems and HJB equations (1999)Stochastic controls : Hamilto…Strategic asset allocation (1997)Strategic asset allocationContinuous-Time Finance. (1991)Continuous-Time Finance.A Computational Method for Stochastic Optimal Control Problems in Financial Mathematics (2015)A Computational Method for St…A TRANSFORMATION METHOD FOR SOLVING THE HAMILTON–JACOBI–BELLMAN EQUATION FOR A CONSTRAINED DYNAMIC STOCHASTIC OPTIMAL ALLOCATION PROBLEM (2013)A TRANSFORMATION METHOD FOR S…Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)Asset Prices in an Exchange Economy (1978)Economic Properties of the Risk Sensitive Criterion for Portfolio Management (2003)Risk-Sensitive ICAPM With Application to Fixed-Income Management (2004)Asset allocation under multivariate regime switching (2007)Essays in the Theory of Risk-Bearing. (1972)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)International Asset Allocation With Regime Shifts (2002)Household Finance (2006)Presidential Address: Discount Rates (2011)Risk Aversion in the Small and in the Large (1964)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Numerical Methods for Stochastic Control Problems in Continuous Time (1992)Cooperative Stochastic Differential Games (2006)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Dynamic Asset Pricing Theory. (1993)Backward Stochastic Differential Equations in Finance (1997)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)
this work references cited by second hop

References

  • 1999Stochastic Controls2,643 cited
  • 1991Continuous-Time Finance.1,805 cited
  • 1999Stochastic controls : Hamiltonian systems and HJB equations1,780 cited
  • 1997Strategic asset allocation730 cited
  • 2000Risk sensitive asset allocation58 cited

Cited by

  • 2015A Computational Method for Stochastic Optimal Control Problems in Financial Mathematics16 cited
  • 2013A TRANSFORMATION METHOD FOR SOLVING THE HAMILTON–JACOBI–BELLMAN EQUATION FOR A CONSTRAINED DYNAMIC STOCHASTIC OPTIMAL ALLOCATION PROBLEM15 cited

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