Pages that link to "Item:Q4796603"
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The following pages link to Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs (Q4796603):
Displaying 24 items.
- Consumption-investment problem with transaction costs for Lévy-driven price processes (Q309169) (← links)
- Viscosity solutions for a system of integro-PDEs and connections to optimal switching and control of jump-diffusion processes (Q708865) (← links)
- Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions (Q943366) (← links)
- Optimal portfolios in Lévy markets under state-dependent bounded utility functions (Q965867) (← links)
- Optimal investment policy and dividend payment strategy in an insurance company (Q990379) (← links)
- Optimal investment and consumption for an insurer with high-watermark performance fee (Q1665626) (← links)
- A non-local regularization of first order Hamilton-Jacobi equations (Q1772323) (← links)
- Continuous dependence estimates for viscosity solutions of integro-PDEs (Q1779287) (← links)
- Uniqueness for integro-PDE in Hilbert spaces (Q1935429) (← links)
- Consuming durable goods when stock markets jump: a strategic asset allocation approach (Q1994529) (← links)
- Maximizing expected terminal utility of an insurer with high gain tax by investment and reinsurance (Q2004551) (← links)
- Renormalized solutions for convection-diffusion problems involving a nonlocal operator (Q2049941) (← links)
- Stochastic differential equations with polar-decomposed Lévy measures and applications to stochastic optimization (Q2477579) (← links)
- Fractal first-order partial differential equations (Q2505217) (← links)
- Optimal Stopping Problem Associated with Jump-diffusion Processes (Q2909978) (← links)
- ERROR ESTIMATES FOR A CLASS OF FINITE DIFFERENCE-QUADRATURE SCHEMES FOR FULLY NONLINEAR DEGENERATE PARABOLIC INTEGRO-PDES (Q3520561) (← links)
- Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type (Q4409028) (← links)
- Optimal consumption with Hindy–Huang–Kreps preferences under nonlinear expectations (Q5055366) (← links)
- Optimal Ratcheting of Dividends in Insurance (Q5130025) (← links)
- VISCOSITY SOLUTIONS OF HAMILTON–JACOBI EQUATIONS WITH DISCONTINUOUS COEFFICIENTS (Q5386914) (← links)
- Optimal rebalancing of portfolios with transaction costs (Q5411910) (← links)
- Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution (Q5957680) (← links)
- Optimal consumption for recursive preferences with local substitution -- the case of certainty (Q6146455) (← links)
- Nonlocal equations with gradient constraints (Q6176104) (← links)
