Yarahmadi, Majid; Yaghobipour, Saba Chebyshev wavelet-based method for solving various stochastic optimal control problems and its application in finance. (English) Zbl 07908518 Iran. J. Numer. Anal. Optim. 14, No. 1, 1-19 (2024). MSC: 93E20 91G80 91G10 PDFBibTeX XMLCite \textit{M. Yarahmadi} and \textit{S. Yaghobipour}, Iran. J. Numer. Anal. Optim. 14, No. 1, 1--19 (2024; Zbl 07908518) Full Text: DOI OA License
Teng, Jiao; Chan, Kit Yan; Yiu, Ka Fai Cedric Solving American option optimal control problems in financial markets using a novel neural network. (English) Zbl 07901726 J. Ind. Manag. Optim. 20, No. 12, 3792-3815 (2024). MSC: 49M37 91G60 68T07 91G80 PDFBibTeX XMLCite \textit{J. Teng} et al., J. Ind. Manag. Optim. 20, No. 12, 3792--3815 (2024; Zbl 07901726) Full Text: DOI
Jacquier, Antoine; Oumgari, Mugad Interest rate convexity in a Gaussian framework. (English) Zbl 07900972 Quant. Finance 24, No. 6, 677-689 (2024). MSC: 91Gxx 60G15 60G22 91G30 91G80 PDFBibTeX XMLCite \textit{A. Jacquier} and \textit{M. Oumgari}, Quant. Finance 24, No. 6, 677--689 (2024; Zbl 07900972) Full Text: DOI arXiv OA License
Angoshtari, Bahman; Duan, Shida Rank-dependent predictable forward performance processes. (English) Zbl 07896280 Probab. Uncertain. Quant. Risk 9, No. 2, 181-218 (2024). MSC: 91G10 91G80 60H30 PDFBibTeX XMLCite \textit{B. Angoshtari} and \textit{S. Duan}, Probab. Uncertain. Quant. Risk 9, No. 2, 181--218 (2024; Zbl 07896280) Full Text: DOI arXiv
Bermin, Hans-Peter; Holm, Magnus The geometry of risk adjustments. (English) Zbl 07890792 Decis. Econ. Finance 47, No. 1, 83-120 (2024). MSC: 91G10 91G20 91G80 PDFBibTeX XMLCite \textit{H.-P. Bermin} and \textit{M. Holm}, Decis. Econ. Finance 47, No. 1, 83--120 (2024; Zbl 07890792) Full Text: DOI OA License
Doldi, Alessandro; Frittelli, Marco; Rosazza Gianin, Emanuela On entropy martingale optimal transport theory. (English) Zbl 07890790 Decis. Econ. Finance 47, No. 1, 1-42 (2024). MSC: 91G20 49Q22 60G46 91G80 PDFBibTeX XMLCite \textit{A. Doldi} et al., Decis. Econ. Finance 47, No. 1, 1--42 (2024; Zbl 07890790) Full Text: DOI OA License
Sato, Yuki; Kanazawa, Kiyoshi Exact solution to a generalised Lillo-Mike-Farmer model with heterogeneous order-splitting strategies. (English) Zbl 07873808 J. Stat. Phys. 191, No. 5, Paper No. 58, 30 p. (2024). MSC: 91G15 91B80 91G80 91B69 PDFBibTeX XMLCite \textit{Y. Sato} and \textit{K. Kanazawa}, J. Stat. Phys. 191, No. 5, Paper No. 58, 30 p. (2024; Zbl 07873808) Full Text: DOI arXiv OA License
Marigonda, Antonio; Nguyen, Khai T. Stochastic equilibrium solution for a debt management problem with currency devaluation. (English) Zbl 07866361 Math. Control Relat. Fields 14, No. 2, 513-532 (2024). MSC: 49J05 91G80 49N35 91B05 PDFBibTeX XMLCite \textit{A. Marigonda} and \textit{K. T. Nguyen}, Math. Control Relat. Fields 14, No. 2, 513--532 (2024; Zbl 07866361) Full Text: DOI
Shirai, Yoshihiro Extreme measures in continuous time conic finance. (English) Zbl 1537.91363 Front. Math. Finance 3, No. 1, 1-30 (2024). MSC: 91G70 91G20 60H10 60G51 91G80 PDFBibTeX XMLCite \textit{Y. Shirai}, Front. Math. Finance 3, No. 1, 1--30 (2024; Zbl 1537.91363) Full Text: DOI arXiv
Carr, Peter; Torricelli, Lorenzo Convex duality in continuous option pricing models. (English) Zbl 1539.91127 Ann. Oper. Res. 336, No. 1-2, 1013-1037 (2024). MSC: 91G20 91G80 PDFBibTeX XMLCite \textit{P. Carr} and \textit{L. Torricelli}, Ann. Oper. Res. 336, No. 1--2, 1013--1037 (2024; Zbl 1539.91127) Full Text: DOI
Glau, Kathrin; Wunderlich, Linus Neural network expression rates and applications of the deep parametric PDE method in counterparty credit risk. (English) Zbl 07859342 Ann. Oper. Res. 336, No. 1-2, 331-357 (2024). MSC: 91G40 35A35 68T07 91G80 PDFBibTeX XMLCite \textit{K. Glau} and \textit{L. Wunderlich}, Ann. Oper. Res. 336, No. 1--2, 331--357 (2024; Zbl 07859342) Full Text: DOI OA License
Gatheral, Jim; Radoičić, Radoš A generalization of the rational rough Heston approximation. (English) Zbl 1537.91364 Quant. Finance 24, No. 2, 329-335 (2024). MSC: 91G80 91B70 PDFBibTeX XMLCite \textit{J. Gatheral} and \textit{R. Radoičić}, Quant. Finance 24, No. 2, 329--335 (2024; Zbl 1537.91364) Full Text: DOI arXiv
Jourdain, Benjamin; Pammer, Gudmund An extension of martingale transport and stability in robust finance. (English) Zbl 1537.91327 Electron. J. Probab. 29, Paper No. 57, 30 p. (2024). MSC: 91G20 91G80 49Q22 60G42 PDFBibTeX XMLCite \textit{B. Jourdain} and \textit{G. Pammer}, Electron. J. Probab. 29, Paper No. 57, 30 p. (2024; Zbl 1537.91327) Full Text: DOI arXiv
Sun, Yifan; Wang, Falei \(G\)-forward performance process and representation of homothetic case via ergodic quadratic \(G\)-BSDE. (English) Zbl 1539.60072 Probab. Uncertain. Quant. Risk 9, No. 1, 85-106 (2024). MSC: 60H10 60H30 91G10 91G80 PDFBibTeX XMLCite \textit{Y. Sun} and \textit{F. Wang}, Probab. Uncertain. Quant. Risk 9, No. 1, 85--106 (2024; Zbl 1539.60072) Full Text: DOI
Maleki Almani, Hamidreza; Shokrollahi, Foad; Sottinen, Tommi Prediction of Gaussian Volterra processes with compound Poisson jumps. (English) Zbl 1537.60041 Stat. Probab. Lett. 208, Article ID 110054, 8 p. (2024). MSC: 60G15 60G55 60G22 91G80 PDFBibTeX XMLCite \textit{H. Maleki Almani} et al., Stat. Probab. Lett. 208, Article ID 110054, 8 p. (2024; Zbl 1537.60041) Full Text: DOI arXiv
Bo, Lijun; Wang, Shihua; Yu, Xiang Mean field game of optimal relative investment with jump risk. (English) Zbl 1539.91142 Sci. China, Math. 67, No. 5, 1159-1188 (2024). MSC: 91G80 91A16 91A80 60G55 PDFBibTeX XMLCite \textit{L. Bo} et al., Sci. China, Math. 67, No. 5, 1159--1188 (2024; Zbl 1539.91142) Full Text: DOI arXiv
Santacroce, Marina; Siri, Paola; Trivellato, Barbara Forward backward SDEs systems for utility maximization in jump diffusion models. (English) Zbl 1535.60106 Appl. Math. Optim. 89, No. 3, Paper No. 65, 22 p. (2024). MSC: 60H10 91G80 60H30 PDFBibTeX XMLCite \textit{M. Santacroce} et al., Appl. Math. Optim. 89, No. 3, Paper No. 65, 22 p. (2024; Zbl 1535.60106) Full Text: DOI arXiv OA License
Bodnariu, Andi; Christensen, Sören; Lindensjö, Kristoffer Local time pushed mixed equilibrium strategies for time-inconsistent stopping problems. (English) Zbl 1535.60071 SIAM J. Control Optim. 62, No. 2, 1261-1290 (2024). MSC: 60G40 60J70 91A10 91A25 91G80 PDFBibTeX XMLCite \textit{A. Bodnariu} et al., SIAM J. Control Optim. 62, No. 2, 1261--1290 (2024; Zbl 1535.60071) Full Text: DOI arXiv
Liang, Jin; Mao, Jia-qi; Liu, Zhao-ya On a flexible loan repayment method depending on borrower’s asset with an early termination clause. (English) Zbl 1540.35409 Acta Math. Appl. Sin., Engl. Ser. 40, No. 2, 557-567 (2024). MSC: 35Q91 91G40 91G80 35K40 PDFBibTeX XMLCite \textit{J. Liang} et al., Acta Math. Appl. Sin., Engl. Ser. 40, No. 2, 557--567 (2024; Zbl 1540.35409) Full Text: DOI
Lim, Debbie; Rebentrost, Patrick A quantum online portfolio optimization algorithm. (English) Zbl 07833225 Quantum Inf. Process. 23, No. 3, Paper No. 63, 29 p. (2024). MSC: 91G80 81P68 91G10 PDFBibTeX XMLCite \textit{D. Lim} and \textit{P. Rebentrost}, Quantum Inf. Process. 23, No. 3, Paper No. 63, 29 p. (2024; Zbl 07833225) Full Text: DOI arXiv
Belfadli, Rachid; Es-Sebaiy, Khalifa; Farah, Fatima-Ezzahra Volatility estimation of Gaussian Ornstein-Uhlenbeck processes of the second kind. (English) Zbl 1534.60045 J. Theor. Probab. 37, No. 1, 860-876 (2024). MSC: 60G15 60G22 62F12 91G80 PDFBibTeX XMLCite \textit{R. Belfadli} et al., J. Theor. Probab. 37, No. 1, 860--876 (2024; Zbl 1534.60045) Full Text: DOI
Acciaio, Beatrice; Kratsios, Anastasis; Pammer, Gudmund Designing universal causal deep learning models: the geometric (hyper)transformer. (English) Zbl 1533.91509 Math. Finance 34, No. 2, 671-735 (2024). MSC: 91G80 93E20 68T07 PDFBibTeX XMLCite \textit{B. Acciaio} et al., Math. Finance 34, No. 2, 671--735 (2024; Zbl 1533.91509) Full Text: DOI arXiv OA License
Liao, Shujian; Ni, Hao; Sabate-Vidales, Marc; Szpruch, Lukasz; Wiese, Magnus; Xiao, Baoren Sig-Wasserstein GANs for conditional time series generation. (English) Zbl 1533.91511 Math. Finance 34, No. 2, 622-670 (2024). MSC: 91G80 68T05 60L20 PDFBibTeX XMLCite \textit{S. Liao} et al., Math. Finance 34, No. 2, 622--670 (2024; Zbl 1533.91511) Full Text: DOI arXiv OA License
Guo, Xin; Mounjid, Othmane GANs training: a game and stochastic control approach. (English) Zbl 1533.91510 Math. Finance 34, No. 2, 522-556 (2024). MSC: 91G80 68T05 91A15 93E20 PDFBibTeX XMLCite \textit{X. Guo} and \textit{O. Mounjid}, Math. Finance 34, No. 2, 522--556 (2024; Zbl 1533.91510) Full Text: DOI arXiv
He, Taoshun; Chen, Yong Pricing European options under stochastic looping contagion risk model. (English) Zbl 1532.35453 Japan J. Ind. Appl. Math. 41, No. 1, 585-608 (2024). Reviewer: Rodica Luca (Iaşi) MSC: 35Q91 35R35 91G20 91G60 91G80 65C05 65M06 65N06 65M12 35R60 PDFBibTeX XMLCite \textit{T. He} and \textit{Y. Chen}, Japan J. Ind. Appl. Math. 41, No. 1, 585--608 (2024; Zbl 1532.35453) Full Text: DOI
Chen, Pengzhan; Song, Yingda A general approximation method for optimal stopping and random delay. (English) Zbl 1530.91619 Math. Finance 34, No. 1, 5-35 (2024). MSC: 91G80 60G40 60J28 PDFBibTeX XMLCite \textit{P. Chen} and \textit{Y. Song}, Math. Finance 34, No. 1, 5--35 (2024; Zbl 1530.91619) Full Text: DOI
Allan, Andrew L.; Liu, Chong; Prömel, David J. A càdlàg rough path foundation for robust finance. (English) Zbl 1530.91519 Finance Stoch. 28, No. 1, 215-257 (2024). MSC: 91G10 60L20 91G80 60G44 PDFBibTeX XMLCite \textit{A. L. Allan} et al., Finance Stoch. 28, No. 1, 215--257 (2024; Zbl 1530.91519) Full Text: DOI arXiv OA License
Guyon, Julien Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle. (English) Zbl 1530.91568 Finance Stoch. 28, No. 1, 27-79 (2024). MSC: 91G20 60G42 60H05 94A17 91G80 PDFBibTeX XMLCite \textit{J. Guyon}, Finance Stoch. 28, No. 1, 27--79 (2024; Zbl 1530.91568) Full Text: DOI
Almani, Hamidreza Maleki; Shokrollahi, Foad; Sottinen, Tommi Hedging in Jump Diffusion Model with Transaction Costs. arXiv:2408.10785 Preprint, arXiv:2408.10785 [q-fin.MF] (2024). MSC: 91G10 91G20 91G80 60G51 60J60 60J65 60J70 60J76 BibTeX Cite \textit{H. M. Almani} et al., ``Hedging in Jump Diffusion Model with Transaction Costs'', Preprint, arXiv:2408.10785 [q-fin.MF] (2024) Full Text: arXiv OA License
Mayerhofer, Eberhard Asymptotic methods for transaction costs. arXiv:2407.07100 Preprint, arXiv:2407.07100 [q-fin.PM] (2024). MSC: 91G10 91G80 BibTeX Cite \textit{E. Mayerhofer}, ``Asymptotic methods for transaction costs'', Preprint, arXiv:2407.07100 [q-fin.PM] (2024) Full Text: arXiv OA License
Carassus, Laurence; Ferhoune, Massinissa Nonconcave Robust Utility Maximization under Projective Determinacy. arXiv:2403.11824 Preprint, arXiv:2403.11824 [q-fin.MF] (2024). MSC: 91B16 91G80 54H05 28B20 60A10 93E20 BibTeX Cite \textit{L. Carassus} and \textit{M. Ferhoune}, ``Nonconcave Robust Utility Maximization under Projective Determinacy'', Preprint, arXiv:2403.11824 [q-fin.MF] (2024) Full Text: arXiv OA License
Ding, Mingcai; Song, Xiaoliang; Yu, Bo An efficient asymptotic DC method for sparse and low-rank matrix recovery. arXiv:2403.10180 Preprint, arXiv:2403.10180 [math.OC] (2024). MSC: 65K05 90C06 90C26 91G80 BibTeX Cite \textit{M. Ding} et al., ``An efficient asymptotic DC method for sparse and low-rank matrix recovery'', Preprint, arXiv:2403.10180 [math.OC] (2024) Full Text: arXiv OA License
Owari, Keita Semistatic robust utility indifference valuation and robust integral functionals. arXiv:2402.18872 Preprint, arXiv:2402.18872 [math.FA] (2024). MSC: 46N10 91G80 46E15 46E27 BibTeX Cite \textit{K. Owari}, ``Semistatic robust utility indifference valuation and robust integral functionals'', Preprint, arXiv:2402.18872 [math.FA] (2024) Full Text: arXiv OA License
Malek, R. About the valuation of American option under Black-Scholes model: a numerical study. (English) Zbl 07863560 Moroccan J. Pure Appl. Anal. 9, No. 1, 75-85 (2023). MSC: 80M10 65N30 91G80 PDFBibTeX XMLCite \textit{R. Malek}, Moroccan J. Pure Appl. Anal. 9, No. 1, 75--85 (2023; Zbl 07863560) Full Text: DOI OA License
Ahmad, Wan Noor Afifah Wan; Sufahani, Suliadi Firdaus; Mohamad, Mahmod Abd Hakim; Rusiman, Mohd Saifullah; Maarof, Mohd Zulariffin Md; Kamarudin, Muhamad Ali Imran Non-classical optimal control problem: a case study for continuous approximation of four-stepwise function. (English) Zbl 07835807 Adv. Differ. Equ. Control Process. 30, No. 4, 309-321 (2023). MSC: 65K15 49J20 91G80 49K20 13P25 PDFBibTeX XMLCite \textit{W. N. A. W. Ahmad} et al., Adv. Differ. Equ. Control Process. 30, No. 4, 309--321 (2023; Zbl 07835807) Full Text: DOI
Łyczkowska-Hanćkowiak, Anna; Wójcicka-Wójtowicz, Aleksandra On portfolio analysis using oriented fuzzy numbers for the trade-related sector of the Warsaw stock exchange. (English) Zbl 07824413 Oper. Res. Decis. 33, No. 4, 155-170 (2023). MSC: 91G10 91G80 91B86 PDFBibTeX XMLCite \textit{A. Łyczkowska-Hanćkowiak} and \textit{A. Wójcicka-Wójtowicz}, Oper. Res. Decis. 33, No. 4, 155--170 (2023; Zbl 07824413) Full Text: Link
Neufeld, Ariel; Sester, Julian A deep learning approach to data-driven model-free pricing and to martingale optimal transport. (English) Zbl 07820882 IEEE Trans. Inf. Theory 69, No. 5, 3172-3189 (2023). MSC: 68T07 91G80 PDFBibTeX XMLCite \textit{A. Neufeld} and \textit{J. Sester}, IEEE Trans. Inf. Theory 69, No. 5, 3172--3189 (2023; Zbl 07820882) Full Text: DOI arXiv
Chassagneux, Jean-François; Chotai, Hinesh; Crisan, Dan Modelling multiperiod carbon markets using singular forward-backward SDEs. (English) Zbl 1532.60148 Math. Oper. Res. 48, No. 1, 463-497 (2023). MSC: 60H30 91G80 PDFBibTeX XMLCite \textit{J.-F. Chassagneux} et al., Math. Oper. Res. 48, No. 1, 463--497 (2023; Zbl 1532.60148) Full Text: DOI arXiv
Kushnir, M.; Tokarieva, K. A generalization of the ARIMA model to the nonlinear and continuous cases. (English. Ukrainian original) Zbl 1534.91179 Cybern. Syst. Anal. 59, No. 6, 900-909 (2023); translation from Kibern. Sist. Anal. 59, No. 6, 40-50 (2023). MSC: 91G80 34K50 93E20 62P05 62M20 PDFBibTeX XMLCite \textit{M. Kushnir} and \textit{K. Tokarieva}, Cybern. Syst. Anal. 59, No. 6, 900--909 (2023; Zbl 1534.91179); translation from Kibern. Sist. Anal. 59, No. 6, 40--50 (2023) Full Text: DOI
Wiesel, Johannes; Zhang, Erica An optimal transport-based characterization of convex order. (English) Zbl 1528.60036 Depend. Model. 11, Article ID 20230102, 15 p. (2023). MSC: 60G46 60E15 60G42 91G80 PDFBibTeX XMLCite \textit{J. Wiesel} and \textit{E. Zhang}, Depend. Model. 11, Article ID 20230102, 15 p. (2023; Zbl 1528.60036) Full Text: DOI arXiv OA License
Ahmad, Manzoor; Mishra, Raishree; Jain, Renu Modified differential transform method for solving Black-Scholes pricing model of European option valuation paying continuous dividends. (English) Zbl 1538.91081 J. Partial Differ. Equations 36, No. 4, 381-393 (2023). MSC: 91G20 91G80 35Q91 PDFBibTeX XMLCite \textit{M. Ahmad} et al., J. Partial Differ. Equations 36, No. 4, 381--393 (2023; Zbl 1538.91081) Full Text: DOI
Beiglböck, Mathias; Jourdain, Benjamin; Margheriti, William; Pammer, Gudmund Stability of the weak martingale optimal transport problem. (English) Zbl 1532.49041 Ann. Appl. Probab. 33, No. 6B, 5382-5412 (2023). Reviewer: Alain Brillard (Riedisheim) MSC: 49Q22 60G42 91G80 49K45 PDFBibTeX XMLCite \textit{M. Beiglböck} et al., Ann. Appl. Probab. 33, No. 6B, 5382--5412 (2023; Zbl 1532.49041) Full Text: DOI arXiv
Wiesel, Johannes Continuity of the martingale optimal transport problem on the real line. (English) Zbl 07789644 Ann. Appl. Probab. 33, No. 6A, 4645-4692 (2023). MSC: 60G42 60G46 91G80 PDFBibTeX XMLCite \textit{J. Wiesel}, Ann. Appl. Probab. 33, No. 6A, 4645--4692 (2023; Zbl 07789644) Full Text: DOI arXiv
Tanana, Anastasiya Utility maximization with ratchet and drawdown constraints on consumption in incomplete semimartingale markets. (English) Zbl 1530.91556 Ann. Appl. Probab. 33, No. 5, 4127-4162 (2023). MSC: 91G15 93E20 91G80 91B16 PDFBibTeX XMLCite \textit{A. Tanana}, Ann. Appl. Probab. 33, No. 5, 4127--4162 (2023; Zbl 1530.91556) Full Text: DOI arXiv Link
Yang, Xiangfeng; Ke, Hua Uncertain interest rate model for Shanghai interbank offered rate and pricing of American swaption. (English) Zbl 1530.91583 Fuzzy Optim. Decis. Mak. 22, No. 3, 447-462 (2023). MSC: 91G30 91G20 60G40 91G80 PDFBibTeX XMLCite \textit{X. Yang} and \textit{H. Ke}, Fuzzy Optim. Decis. Mak. 22, No. 3, 447--462 (2023; Zbl 1530.91583) Full Text: DOI
Baldacci, Bastien; Bergault, Philippe; Possamaï, Dylan A mean-field game of market-making against strategic traders. (English) Zbl 1527.91156 SIAM J. Financ. Math. 14, No. 4, 1080-1112 (2023). MSC: 91G15 91A16 91G80 49N80 PDFBibTeX XMLCite \textit{B. Baldacci} et al., SIAM J. Financ. Math. 14, No. 4, 1080--1112 (2023; Zbl 1527.91156) Full Text: DOI arXiv
Zhang, Jianfeng Short communication: is a sophisticated agent always a wise one? (English) Zbl 1530.91620 SIAM J. Financ. Math. 14, No. 4, SC42-SC48 (2023). MSC: 91G80 49N05 91A10 PDFBibTeX XMLCite \textit{J. Zhang}, SIAM J. Financ. Math. 14, No. 4, SC42-SC48 (2023; Zbl 1530.91620) Full Text: DOI arXiv
Łochowski, Rafał Marcin BDG inequalities and their applications for model-free continuous price paths with instant enforcement. (English) Zbl 1527.91183 Mod. Stoch., Theory Appl. 10, No. 4, 425-457 (2023). MSC: 91G80 60G17 60H05 60G46 PDFBibTeX XMLCite \textit{R. M. Łochowski}, Mod. Stoch., Theory Appl. 10, No. 4, 425--457 (2023; Zbl 1527.91183) Full Text: DOI arXiv
Wand, Tobias; Heßler, Martin; Kamps, Oliver Identifying dominant industrial sectors in market states of the S&P 500 financial data. (English) Zbl 1539.91143 J. Stat. Mech. Theory Exp. 2023, No. 4, Article ID 043402, 21 p. (2023). MSC: 91G80 62P05 91B80 PDFBibTeX XMLCite \textit{T. Wand} et al., J. Stat. Mech. Theory Exp. 2023, No. 4, Article ID 043402, 21 p. (2023; Zbl 1539.91143) Full Text: DOI arXiv OA License
Hui, Xianfei; Sun, Baiqing; Jiang, Hui; SenGupta, Indranil Analysis of stock index with a generalized BN-S model: an approach based on machine learning and fuzzy parameters. (English) Zbl 1527.91158 Stochastic Anal. Appl. 41, No. 5, 938-957 (2023). MSC: 91G15 68T05 91G80 PDFBibTeX XMLCite \textit{X. Hui} et al., Stochastic Anal. Appl. 41, No. 5, 938--957 (2023; Zbl 1527.91158) Full Text: DOI arXiv
Liu, Zixin; Li, Wenfang; Xu, Changjin; Liu, Chunfeng; Mu, Dan; Xu, Mengzhu; Ou, Wei; Cui, Qingyi Bifurcation mechanism and hybrid control strategy of a finance model with delays. (English) Zbl 1520.91439 Bound. Value Probl. 2023, Paper No. 82, 24 p. (2023). MSC: 91G80 34K18 PDFBibTeX XMLCite \textit{Z. Liu} et al., Bound. Value Probl. 2023, Paper No. 82, 24 p. (2023; Zbl 1520.91439) Full Text: DOI OA License
An, Lifen; Cohen, Samuel N.; Ji, Shaolin Reflected backward stochastic difference equations and optimal stopping problems under \(g\)-expectation. (English) Zbl 1533.60084 Electron. J. Probab. 28, Paper No. 99, 24 p. (2023). MSC: 60H10 60G40 91G80 PDFBibTeX XMLCite \textit{L. An} et al., Electron. J. Probab. 28, Paper No. 99, 24 p. (2023; Zbl 1533.60084) Full Text: DOI arXiv Link
Alzaid, Sara S.; Kumar, Ajay; Kumar, Sunil; Alkahtani, Badr Saad T. Chaotic behavior of financial dynamical system with generalized fractional operator. (English) Zbl 1529.91073 Fractals 31, No. 4, Article ID 2340056, 20 p. (2023). MSC: 91G80 37N40 34H10 34A08 91G60 PDFBibTeX XMLCite \textit{S. S. Alzaid} et al., Fractals 31, No. 4, Article ID 2340056, 20 p. (2023; Zbl 1529.91073) Full Text: DOI
Mastrogiacomo, Elisa; Tarsia, Marco Subgame-perfect equilibrium strategies for time-inconsistent recursive stochastic control problems. (English) Zbl 1520.93615 J. Math. Anal. Appl. 527, No. 2, Article ID 127425, 35 p. (2023). MSC: 93E20 91A11 60H10 91G10 91G80 PDFBibTeX XMLCite \textit{E. Mastrogiacomo} and \textit{M. Tarsia}, J. Math. Anal. Appl. 527, No. 2, Article ID 127425, 35 p. (2023; Zbl 1520.93615) Full Text: DOI arXiv OA License
Neufcourt, Léo; Protter, Philip Expansion of a filtration with a stochastic process: the information drift. (English) Zbl 1515.60121 Numer. Algebra Control Optim. 13, No. 3-4, 714-742 (2023). MSC: 60G44 60G48 60G07 91G80 PDFBibTeX XMLCite \textit{L. Neufcourt} and \textit{P. Protter}, Numer. Algebra Control Optim. 13, No. 3--4, 714--742 (2023; Zbl 1515.60121) Full Text: DOI arXiv
Xu, Mingyu Superhedging problem under ratio constraint: BSDE approaches with Malliavin calculus. (English) Zbl 1515.60224 Numer. Algebra Control Optim. 13, No. 3-4, 664-680 (2023). MSC: 60H10 60H30 91G80 PDFBibTeX XMLCite \textit{M. Xu}, Numer. Algebra Control Optim. 13, No. 3--4, 664--680 (2023; Zbl 1515.60224) Full Text: DOI
Bayraktar, Erhan; Deng, Shuoqing; Norgilas, Dominykas Supermartingale Brenier’s theorem with full-marginals constraint. (English) Zbl 1520.91438 Front. Math. Finance 2, No. 2, 202-243 (2023). MSC: 91G80 60G48 PDFBibTeX XMLCite \textit{E. Bayraktar} et al., Front. Math. Finance 2, No. 2, 202--243 (2023; Zbl 1520.91438) Full Text: DOI arXiv
Qiu, Jixiu; Zhou, Yonghui On the equilibrium of insider trading under information acquisition with long memory. (English) Zbl 1538.91078 J. Ind. Manag. Optim. 19, No. 10, 7130-7149 (2023). MSC: 91G15 60G22 91G80 PDFBibTeX XMLCite \textit{J. Qiu} and \textit{Y. Zhou}, J. Ind. Manag. Optim. 19, No. 10, 7130--7149 (2023; Zbl 1538.91078) Full Text: DOI
Bi, Junna; Li, Danping Behavioral mean-risk portfolio selection in continuous time via quantile. (English) Zbl 07710574 Commun. Stat., Theory Methods 52, No. 14, 4904-4933 (2023). MSC: 90C39 91B30 91G80 PDFBibTeX XMLCite \textit{J. Bi} and \textit{D. Li}, Commun. Stat., Theory Methods 52, No. 14, 4904--4933 (2023; Zbl 07710574) Full Text: DOI
Ha, Mijin; Kim, Donghyun; Yoon, Ji-Hun The pricing of vulnerable foreign exchange options under a multiscale stochastic volatility model. (English) Zbl 1524.35125 J. Appl. Math. Inform. 41, No. 1, 33-50 (2023). MSC: 35C20 91G20 91G80 PDFBibTeX XMLCite \textit{M. Ha} et al., J. Appl. Math. Inform. 41, No. 1, 33--50 (2023; Zbl 1524.35125) Full Text: DOI
Guo, Mng Dampening effect and market efficiency. (English) Zbl 1514.91211 J. Econ. Dyn. Control 148, Article ID 104604, 25 p. (2023). MSC: 91G80 PDFBibTeX XMLCite \textit{M. Guo}, J. Econ. Dyn. Control 148, Article ID 104604, 25 p. (2023; Zbl 1514.91211) Full Text: DOI
Liang, Jin; Zhang, Liuqing A free boundary problem for a flexible loan based on the borrower asset. (English) Zbl 1517.35271 Discrete Contin. Dyn. Syst., Ser. B 28, No. 11, 5559-5579 (2023). MSC: 35R35 35K10 91B05 91G80 PDFBibTeX XMLCite \textit{J. Liang} and \textit{L. Zhang}, Discrete Contin. Dyn. Syst., Ser. B 28, No. 11, 5559--5579 (2023; Zbl 1517.35271) Full Text: DOI
Kang, Jian-hao; Gou, Zhun; Huang, Nan-jing Robust equilibrium strategies for time-inconsistent stochastic optimal control problems with applications. (English) Zbl 1518.93155 Commun. Nonlinear Sci. Numer. Simul. 123, Article ID 107270, 29 p. (2023). MSC: 93E20 91G10 91G80 60H30 91A80 PDFBibTeX XMLCite \textit{J.-h. Kang} et al., Commun. Nonlinear Sci. Numer. Simul. 123, Article ID 107270, 29 p. (2023; Zbl 1518.93155) Full Text: DOI
Makhlouf, K.; Agram, N.; Hilbert, A.; Øksendal, B. SPDEs with space interactions and application to population modelling. (English) Zbl 1509.60125 ESAIM, Control Optim. Calc. Var. 29, Paper No. 18, 23 p. (2023). MSC: 60H30 93E20 91G80 91B70 PDFBibTeX XMLCite \textit{K. Makhlouf} et al., ESAIM, Control Optim. Calc. Var. 29, Paper No. 18, 23 p. (2023; Zbl 1509.60125) Full Text: DOI arXiv OA License
Rodrigo, Marianito R. On a strongly continuous semigroup for a Black-Scholes integro-differential operator: European options under jump-diffusion dynamics. (English) Zbl 1514.47068 Appl. Anal. 102, No. 1, 220-238 (2023). MSC: 47D06 47N10 45K05 91G20 91G80 35A22 65R20 PDFBibTeX XMLCite \textit{M. R. Rodrigo}, Appl. Anal. 102, No. 1, 220--238 (2023; Zbl 1514.47068) Full Text: DOI
Amine, Oussama; Mansouri, Abdol-Reza; Proske, Frank Well-posedness of the deterministic transport equation with singular velocity field perturbed along fractional Brownian paths. (English) Zbl 1535.60093 J. Differ. Equations 362, 106-172 (2023). Reviewer: Denis R. Bell (Jacksonville) MSC: 60H10 49N60 91G80 PDFBibTeX XMLCite \textit{O. Amine} et al., J. Differ. Equations 362, 106--172 (2023; Zbl 1535.60093) Full Text: DOI arXiv
Doldi, Alessandro; Frittelli, Marco Entropy martingale optimal transport and nonlinear pricing-hedging duality. (English) Zbl 1512.91141 Finance Stoch. 27, No. 2, 255-304 (2023). Reviewer: Pavel Stoynov (Sofia) MSC: 91G20 60G46 91G80 49J45 90C46 PDFBibTeX XMLCite \textit{A. Doldi} and \textit{M. Frittelli}, Finance Stoch. 27, No. 2, 255--304 (2023; Zbl 1512.91141) Full Text: DOI arXiv OA License
Tian, Dejian Pricing principle via Tsallis relative entropy in incomplete markets. (English) Zbl 1511.91155 SIAM J. Financ. Math. 14, No. 1, 250-278 (2023). MSC: 91G20 91G80 60H30 PDFBibTeX XMLCite \textit{D. Tian}, SIAM J. Financ. Math. 14, No. 1, 250--278 (2023; Zbl 1511.91155) Full Text: DOI arXiv
Rao, Ashwin; Jelvis, Tikhon Foundations of reinforcement learning with applications in finance. (English) Zbl 1510.68002 Boca Raton, FL: CRC Press (ISBN 978-1-032-12412-4/hbk; 978-1-032-13429-1/pbk; 978-1-003-22919-3/ebook). xxii, 499 p. (2023). MSC: 68-01 68T05 91G80 PDFBibTeX XMLCite \textit{A. Rao} and \textit{T. Jelvis}, Foundations of reinforcement learning with applications in finance. Boca Raton, FL: CRC Press (2023; Zbl 1510.68002) Full Text: DOI
Alziary, Bénédicte; Takáč, Peter The Heston stochastic volatility model has a boundary trace at zero volatility. (English) Zbl 1507.35059 Rev. R. Acad. Cienc. Exactas Fís. Nat., Ser. A Mat., RACSAM 117, No. 2, Paper No. 52, 43 p. (2023). MSC: 35B65 35K15 35K65 91G80 PDFBibTeX XMLCite \textit{B. Alziary} and \textit{P. Takáč}, Rev. R. Acad. Cienc. Exactas Fís. Nat., Ser. A Mat., RACSAM 117, No. 2, Paper No. 52, 43 p. (2023; Zbl 1507.35059) Full Text: DOI arXiv OA License
Coffie, Emmanuel; Duedahl, Sindre; Proske, Frank Sensitivity analysis with respect to a stochastic stock price model with rough volatility via a Bismut-Elworthy-Li formula for singular SDEs. (English) Zbl 1502.60090 Stochastic Processes Appl. 156, 156-195 (2023). MSC: 60H10 49N60 91G80 PDFBibTeX XMLCite \textit{E. Coffie} et al., Stochastic Processes Appl. 156, 156--195 (2023; Zbl 1502.60090) Full Text: DOI arXiv
Biagini, Francesca; Mazzon, Andrea; Oberpriller, Katharina Reduced-form framework for multiple ordered default times under model uncertainty. (English) Zbl 1502.60081 Stochastic Processes Appl. 156, 1-43 (2023). MSC: 60G65 91G40 91G80 PDFBibTeX XMLCite \textit{F. Biagini} et al., Stochastic Processes Appl. 156, 1--43 (2023; Zbl 1502.60081) Full Text: DOI arXiv
Doumpos, Michalis; Zopounidis, Constantin; Gounopoulos, Dimitrios; Platanakis, Emmanouil; Zhang, Wenke Operational research and artificial intelligence methods in banking. (English) Zbl 07633817 Eur. J. Oper. Res. 306, No. 1, 1-16 (2023). MSC: 91G80 68T05 90B50 91G40 91-02 PDFBibTeX XMLCite \textit{M. Doumpos} et al., Eur. J. Oper. Res. 306, No. 1, 1--16 (2023; Zbl 07633817) Full Text: DOI OA License
Irfan, Mohammad (ed.); Elhoseny, Mohamed (ed.); Kassim, Salina H. (ed.); Metawa, Noura (ed.) Advanced machine learning algorithms for complex financial applications. (English) Zbl 1503.91012 Hershey, PA: IGI Global (ISBN 978-1-6684-4483-2/hbk; 978-1-6684-4484-9/pbk; 978-1-6684-4485-6/ebook). xiv, 292 p. (2023). MSC: 91-06 91G80 68T05 00B15 PDFBibTeX XMLCite \textit{M. Irfan} (ed.) et al., Advanced machine learning algorithms for complex financial applications. Hershey, PA: IGI Global (2023; Zbl 1503.91012) Full Text: DOI
Liang, Gechun; Sun, Yifan; Zariphopoulou, Thaleia Representation of forward performance criteria with random endowment via FBSDE and application to forward optimized certainty equivalent. arXiv:2401.00103 Preprint, arXiv:2401.00103 [q-fin.PM] (2023). MSC: 91G10 91G80 60H30 BibTeX Cite \textit{G. Liang} et al., ``Representation of forward performance criteria with random endowment via FBSDE and application to forward optimized certainty equivalent'', Preprint, arXiv:2401.00103 [q-fin.PM] (2023) Full Text: arXiv OA License
Fahim, Arash; Touzi, Nizar Impact of carbon market on production emissions. arXiv:2312.03665 Preprint, arXiv:2312.03665 [math.OC] (2023). MSC: 91G80 93E20 91B70 BibTeX Cite \textit{A. Fahim} and \textit{N. Touzi}, ``Impact of carbon market on production emissions'', Preprint, arXiv:2312.03665 [math.OC] (2023) Full Text: arXiv OA License
Candela, Anna Maria; Goldstein, Gisèle Ruiz; Goldstein, Jerome A.; Romanelli, Silvia Chaos for generalized Black-Scholes equations. arXiv:2312.01247 Preprint, arXiv:2312.01247 [math.AP] (2023). MSC: 47D06 47A16 35K05 35Q91 91G80 BibTeX Cite \textit{A. M. Candela} et al., ``Chaos for generalized Black-Scholes equations'', Preprint, arXiv:2312.01247 [math.AP] (2023) Full Text: arXiv OA License
Bo, Lijun; Wang, Wenyuan; Yan, Kaixin De Finetti’s Control Problem with Poisson Observations under Spectrally Positive Markov Additive Process. arXiv:2311.04555 Preprint, arXiv:2311.04555 [math.OC] (2023). MSC: 60G51 93E20 91G80 BibTeX Cite \textit{L. Bo} et al., ``De Finetti's Control Problem with Poisson Observations under Spectrally Positive Markov Additive Process'', Preprint, arXiv:2311.04555 [math.OC] (2023) Full Text: arXiv OA License
Li, Bohan; Guo, Junyi; Liang, Xiaoqing Optimal Monotone Mean-Variance Problem in a Catastrophe Insurance Model. arXiv:2310.20173 Preprint, arXiv:2310.20173 [math.OC] (2023). MSC: 49L20 91G80 BibTeX Cite \textit{B. Li} et al., ``Optimal Monotone Mean-Variance Problem in a Catastrophe Insurance Model'', Preprint, arXiv:2310.20173 [math.OC] (2023) Full Text: arXiv OA License
Di Nunno, Giulia; Kubilius, Kęstutis; Mishura, Yuliya; Yurchenko-Tytarenko, Anton From constant to rough: A survey of continuous volatility modeling. arXiv:2309.01033 Preprint, arXiv:2309.01033 [q-fin.MF] (2023). MSC: 91-02 91-03 62P05 60H10 60G22 91G15 91G30 91G80 BibTeX Cite \textit{G. Di Nunno} et al., ``From constant to rough: A survey of continuous volatility modeling'', Preprint, arXiv:2309.01033 [q-fin.MF] (2023) Full Text: arXiv OA License
Horst, Ulrich; Kreher, Dörte; Starovoitovs, Konstantins Second-Order Approximation of Limit Order Books in a Single-Scale Regime. arXiv:2308.00805 Preprint, arXiv:2308.00805 [q-fin.MF] (2023). MSC: 60F17 91G80 BibTeX Cite \textit{U. Horst} et al., ``Second-Order Approximation of Limit Order Books in a Single-Scale Regime'', Preprint, arXiv:2308.00805 [q-fin.MF] (2023) Full Text: arXiv OA License
Bonesini, Ofelia; Callegaro, Giorgia; Grasselli, Martino; Pagès, Gilles From elephant to goldfish (and back): memory in stochastic Volterra processes. arXiv:2306.02708 Preprint, arXiv:2306.02708 [q-fin.MF] (2023). MSC: 60G22 65C20 91G20 91G60 91G80 BibTeX Cite \textit{O. Bonesini} et al., ``From elephant to goldfish (and back): memory in stochastic Volterra processes'', Preprint, arXiv:2306.02708 [q-fin.MF] (2023) Full Text: arXiv OA License
Gairat, Alexander; Shcherbakov, Vadim Extreme ATM skew in a local volatility model with discontinuity: joint density approach. arXiv:2305.10849 Preprint, arXiv:2305.10849 [q-fin.MF] (2023). MSC: 91G20 60H10 60J65 91G80 BibTeX Cite \textit{A. Gairat} and \textit{V. Shcherbakov}, ``Extreme ATM skew in a local volatility model with discontinuity: joint density approach'', Preprint, arXiv:2305.10849 [q-fin.MF] (2023) Full Text: arXiv OA License
Antonopoulou, D. C.; Farazakis, D.; Karali, G. Existence of maximal solutions for the financial stochastic Stefan problem of a volatile asset with spread. arXiv:2302.09841 Preprint, arXiv:2302.09841 [math.PR] (2023). MSC: 35K55 35K40 60H30 60H15 91G80 91B70 BibTeX Cite \textit{D. C. Antonopoulou} et al., ``Existence of maximal solutions for the financial stochastic Stefan problem of a volatile asset with spread'', Preprint, arXiv:2302.09841 [math.PR] (2023) Full Text: arXiv OA License
Neuman, Eyal; Zhang, Yufei Statistical Learning with Sublinear Regret of Propagator Models. arXiv:2301.05157 Preprint, arXiv:2301.05157 [q-fin.TR] (2023). MSC: 62L05 60H30 91G80 68Q32 93C73 93E35 62G08 BibTeX Cite \textit{E. Neuman} and \textit{Y. Zhang}, ``Statistical Learning with Sublinear Regret of Propagator Models'', Preprint, arXiv:2301.05157 [q-fin.TR] (2023) Full Text: arXiv OA License
Peng, Xingchun; Chen, Fenge Mean-variance asset-liability management with inside information. (English) Zbl 07897032 Commun. Stat., Theory Methods 51, No. 7, 2281-2302 (2022). MSC: 97M30 91G80 93E20 60H30 PDFBibTeX XMLCite \textit{X. Peng} and \textit{F. Chen}, Commun. Stat., Theory Methods 51, No. 7, 2281--2302 (2022; Zbl 07897032) Full Text: DOI
Gupta, Pankaj Portfolio optimization using elliptic entropy and semi-entropy of coherent fuzzy numbers. (English) Zbl 1536.91298 Inf. Sci. 614, 240-262 (2022). MSC: 91G10 91B86 91G80 94A17 PDFBibTeX XMLCite \textit{P. Gupta}, Inf. Sci. 614, 240--262 (2022; Zbl 1536.91298) Full Text: DOI
Sozhaeswari, P.; Sowrirajan, R.; Loganathan, K.; Gyeltshen, Sonam A study on the impact of nonlinear source term in Black-Scholes option pricing model. (English) Zbl 1522.91285 Abstr. Appl. Anal. 2022, Article ID 6385401, 6 p. (2022). MSC: 91G20 91G80 PDFBibTeX XMLCite \textit{P. Sozhaeswari} et al., Abstr. Appl. Anal. 2022, Article ID 6385401, 6 p. (2022; Zbl 1522.91285) Full Text: DOI OA License
Jourdain, B.; Margheriti, W. One dimensional martingale rearrangement couplings. (English) Zbl 1528.60034 ESAIM, Probab. Stat. 26, 495-527 (2022). Reviewer: Alexander Iksanov (Kyïv) MSC: 60G42 60E15 91G80 49Q22 PDFBibTeX XMLCite \textit{B. Jourdain} and \textit{W. Margheriti}, ESAIM, Probab. Stat. 26, 495--527 (2022; Zbl 1528.60034) Full Text: DOI arXiv OA License
Liu, Qiuhong; Dai, Bo; Katib, Iyad; Alhamami, Mohammed Alaa Financial accounting measurement model based on numerical analysis of rigid normal differential equation and rigid generalised functional equation. (English) Zbl 1514.91213 Appl. Math. Nonlinear Sci. 7, No. 1, 541-548 (2022). MSC: 91G80 34K05 PDFBibTeX XMLCite \textit{Q. Liu} et al., Appl. Math. Nonlinear Sci. 7, No. 1, 541--548 (2022; Zbl 1514.91213) Full Text: DOI OA License
Yang, Yingyan Application of numerical method of functional differential equations in fair value of financial accounting. (English) Zbl 1514.91221 Appl. Math. Nonlinear Sci. 7, No. 1, 533-540 (2022). MSC: 91G80 34K35 PDFBibTeX XMLCite \textit{Y. Yang}, Appl. Math. Nonlinear Sci. 7, No. 1, 533--540 (2022; Zbl 1514.91221) Full Text: DOI OA License
Ma, Yanran; Chen, Nan; Lv, Han Back propagation mathematical model for stock price prediction. (English) Zbl 1514.91215 Appl. Math. Nonlinear Sci. 7, No. 1, 165-174 (2022). MSC: 91G80 68T07 PDFBibTeX XMLCite \textit{Y. Ma} et al., Appl. Math. Nonlinear Sci. 7, No. 1, 165--174 (2022; Zbl 1514.91215) Full Text: DOI OA License
Dostál, Petr Almost log-optimal trading strategies for small transaction costs in model with stochastic coefficients. (English) Zbl 07655865 Kybernetika 58, No. 6, 903-959 (2022). MSC: 91G80 60H30 60G44 PDFBibTeX XMLCite \textit{P. Dostál}, Kybernetika 58, No. 6, 903--959 (2022; Zbl 07655865) Full Text: DOI
Mehralizade, Rouhollah; Mehralizade, Akbar LR mixed fuzzy random portfolio choice based on the risk curve. (English) Zbl 1508.91508 Int. J. Uncertain. Fuzziness Knowl.-Based Syst. 30, No. 2, 231-261 (2022). MSC: 91G10 91B86 91G80 PDFBibTeX XMLCite \textit{R. Mehralizade} and \textit{A. Mehralizade}, Int. J. Uncertain. Fuzziness Knowl.-Based Syst. 30, No. 2, 231--261 (2022; Zbl 1508.91508) Full Text: DOI
Shoji, Isao; Nozawa, Masahiro Geometric analysis of nonlinear dynamics in application to financial time series. (English) Zbl 1508.37123 Chaos Solitons Fractals 164, Article ID 112582, 9 p. (2022). MSC: 37N40 91B84 34C15 91B55 91G80 PDFBibTeX XMLCite \textit{I. Shoji} and \textit{M. Nozawa}, Chaos Solitons Fractals 164, Article ID 112582, 9 p. (2022; Zbl 1508.37123) Full Text: DOI
Lashgari, Zohreh; Bahiraie, Alireza; Eshaghi Gordji, Madjid A new credit and loan lending strategy and credit in banking systems: an evolutionary game theory approach. (English) Zbl 1517.91283 J. Appl. Math. 2022, Article ID 3400319, 12 p. (2022). MSC: 91G80 91A22 PDFBibTeX XMLCite \textit{Z. Lashgari} et al., J. Appl. Math. 2022, Article ID 3400319, 12 p. (2022; Zbl 1517.91283) Full Text: DOI OA License
Lin, Xiaoran; Wang, Yachao; Wang, Jifang; Zeng, Wenxian Dynamic analysis and adaptive modified projective synchronization for systems with Atangana-Baleanu-Caputo derivative: a financial model with nonconstant demand elasticity. (English) Zbl 1504.91328 Chaos Solitons Fractals 160, Article ID 112269, 9 p. (2022). MSC: 91G45 37N40 91G80 26A33 PDFBibTeX XMLCite \textit{X. Lin} et al., Chaos Solitons Fractals 160, Article ID 112269, 9 p. (2022; Zbl 1504.91328) Full Text: DOI
Zeng, Pingping; Shi, Chao Computable error bounds of multidimensional Euler inversion and their financial applications. (English) Zbl 1525.65132 Oper. Res. Lett. 50, No. 6, 726-731 (2022). MSC: 65R10 44A10 91G80 PDFBibTeX XMLCite \textit{P. Zeng} and \textit{C. Shi}, Oper. Res. Lett. 50, No. 6, 726--731 (2022; Zbl 1525.65132) Full Text: DOI
Chen, Zengjing; Liu, Shuhui; Qian, Zhongmin; Xu, Xingcheng Explicit solutions for a class of nonlinear BSDEs and their nodal sets. (English) Zbl 1502.60089 Probab. Uncertain. Quant. Risk 7, No. 4, 283-300 (2022). MSC: 60H10 91G80 93E20 PDFBibTeX XMLCite \textit{Z. Chen} et al., Probab. Uncertain. Quant. Risk 7, No. 4, 283--300 (2022; Zbl 1502.60089) Full Text: DOI
Gerencsér, Balázs; Rásonyi, Miklós Invariant measures for multidimensional fractional stochastic volatility models. (English) Zbl 1504.60113 Stoch. Partial Differ. Equ., Anal. Comput. 10, No. 3, 1132-1164 (2022). Reviewer: Nasir N. Ganikhodjaev (Tashkent) MSC: 60J10 60J25 91G80 PDFBibTeX XMLCite \textit{B. Gerencsér} and \textit{M. Rásonyi}, Stoch. Partial Differ. Equ., Anal. Comput. 10, No. 3, 1132--1164 (2022; Zbl 1504.60113) Full Text: DOI arXiv OA License