Chen, Xinfu; He, Peng; Liu, Jing; Zhao, Shuai Mathematical analysis of a credit default swap with counterparty risks. (English) Zbl 1505.91377 Eur. J. Appl. Math. 31, No. 5, 737-762 (2020). MSC: 91G20 91G40 35A02 PDFBibTeX XMLCite \textit{X. Chen} et al., Eur. J. Appl. Math. 31, No. 5, 737--762 (2020; Zbl 1505.91377) Full Text: DOI
Schlosser, Rainer Risk-sensitive control of Markov decision processes: a moment-based approach with target distributions. (English) Zbl 1458.90401 Comput. Oper. Res. 123, Article ID 104997, 14 p. (2020). MSC: 90B50 90C40 91B06 PDFBibTeX XMLCite \textit{R. Schlosser}, Comput. Oper. Res. 123, Article ID 104997, 14 p. (2020; Zbl 1458.90401) Full Text: DOI
Campolieti, Giuseppe; Makarov, Roman N. On properties of analytically solvable families of local volatility diffusion models. (English) Zbl 1278.91111 Math. Finance 22, No. 3, 488-518 (2012). MSC: 91G20 60H30 60J60 91B70 PDFBibTeX XMLCite \textit{G. Campolieti} and \textit{R. N. Makarov}, Math. Finance 22, No. 3, 488--518 (2012; Zbl 1278.91111) Full Text: DOI
Jack, Andrew; Johnson, Timothy C.; Zervos, Mihail A singular control model with application to the goodwill problem. (English) Zbl 1149.93037 Stochastic Processes Appl. 118, No. 11, 2098-2124 (2008). MSC: 93E20 49J15 49L20 60J60 91B70 PDFBibTeX XMLCite \textit{A. Jack} et al., Stochastic Processes Appl. 118, No. 11, 2098--2124 (2008; Zbl 1149.93037) Full Text: DOI arXiv
Huang, Hong-Chih; Cairns, Andrew J. G. On the control of defined-benefit pension plans. (English) Zbl 1157.91380 Insur. Math. Econ. 38, No. 1, 113-131 (2006). MSC: 91B30 91G10 PDFBibTeX XMLCite \textit{H.-C. Huang} and \textit{A. J. G. Cairns}, Insur. Math. Econ. 38, No. 1, 113--131 (2006; Zbl 1157.91380) Full Text: DOI
Colombo, Luigi; Haberman, Steven Optimal contributions in a defined benefit pension scheme with stochastic new entrants. (English) Zbl 1117.91380 Insur. Math. Econ. 37, No. 2, 335-354 (2005). MSC: 91B30 91D20 PDFBibTeX XMLCite \textit{L. Colombo} and \textit{S. Haberman}, Insur. Math. Econ. 37, No. 2, 335--354 (2005; Zbl 1117.91380) Full Text: DOI
Pliska, Stanley R.; Suzuki, Kiyoshi Optimal tracking for asset allocation with fixed and proportional transaction costs. (English) Zbl 1405.91568 Quant. Finance 4, No. 2, 233-243 (2004). MSC: 91G10 PDFBibTeX XMLCite \textit{S. R. Pliska} and \textit{K. Suzuki}, Quant. Finance 4, No. 2, 233--243 (2004; Zbl 1405.91568) Full Text: DOI
Chang, S. C.; Tzeng, Larry Y.; Miao, Jerry C. Y. Pension funding incorporating downside risks. (English) Zbl 1074.91547 Insur. Math. Econ. 32, No. 2, 217-228 (2003). MSC: 91B30 91B28 93C95 PDFBibTeX XMLCite \textit{S. C. Chang} et al., Insur. Math. Econ. 32, No. 2, 217--228 (2003; Zbl 1074.91547) Full Text: DOI
Chang, Shih-Chieh; Chen, Chiang-Chu Allocating unfunded liability in pension valuation under uncertainty. (English) Zbl 1074.62525 Insur. Math. Econ. 30, No. 3, 371-387 (2002). MSC: 62P05 91B30 PDFBibTeX XMLCite \textit{S.-C. Chang} and \textit{C.-C. Chen}, Insur. Math. Econ. 30, No. 3, 371--387 (2002; Zbl 1074.62525) Full Text: DOI
Alvarez, Luis H. R.; Stenbacka, Rune Adoption of uncertain multi-stage technology projects: a real options approach. (English) Zbl 0970.91030 J. Math. Econ. 35, No. 1, 71-97 (2001). Reviewer: Klaus Schürger (Bonn) MSC: 91G50 62L15 60G40 60J60 PDFBibTeX XMLCite \textit{L. H. R. Alvarez} and \textit{R. Stenbacka}, J. Math. Econ. 35, No. 1, 71--97 (2001; Zbl 0970.91030) Full Text: DOI
Amir, R.; Evstigneev, I. V. A functional central limit theorem for equilibrium paths of economic dynamics. (English) Zbl 0964.91043 J. Math. Econ. 33, No. 1, 81-99 (2000). Reviewer: Petre Stavre (Craiova) MSC: 91D10 PDFBibTeX XMLCite \textit{R. Amir} and \textit{I. V. Evstigneev}, J. Math. Econ. 33, No. 1, 81--99 (2000; Zbl 0964.91043) Full Text: DOI
Alvarez, Luis H. R. Optimal exit and valuation under demand uncertainty: a real options approach. (English) Zbl 0935.91016 Eur. J. Oper. Res. 114, No. 2, 320-329 (1999). MSC: 91G50 PDFBibTeX XMLCite \textit{L. H. R. Alvarez}, Eur. J. Oper. Res. 114, No. 2, 320--329 (1999; Zbl 0935.91016) Full Text: DOI
Saito, Makoto A note on ergodic distributions in two-agent economies. (English) Zbl 0883.90042 J. Math. Econ. 27, No. 2, 133-141 (1997). MSC: 91B62 93E03 PDFBibTeX XMLCite \textit{M. Saito}, J. Math. Econ. 27, No. 2, 133--141 (1997; Zbl 0883.90042) Full Text: DOI
Bielecki, T. R.; Frei, M. Identification and control in the partially known Merton portfolio selection model. (English) Zbl 0792.90008 J. Optimization Theory Appl. 77, No. 2, 399-420 (1993). MSC: 91G10 PDFBibTeX XMLCite \textit{T. R. Bielecki} and \textit{M. Frei}, J. Optim. Theory Appl. 77, No. 2, 399--420 (1993; Zbl 0792.90008) Full Text: DOI
Föllmer, Hans; Schweizer, Martin A microeconomic approach to diffusion models for stock prices. (English) Zbl 0884.90027 Math. Finance 3, No. 1, 1-23 (1993); erratum ibid. 4, No. 3, 285 (1993). MSC: 91B28 91B62 PDFBibTeX XMLCite \textit{H. Föllmer} and \textit{M. Schweizer}, Math. Finance 3, No. 1, 1--23 (1993); erratum 4, No. 3, 285 (1993; Zbl 0884.90027) Full Text: DOI
Nairay, Alain Dynamic portfolio choice under asset price lognormality. (English) Zbl 0769.90006 Comput. Math. Appl. 24, No. 8-9, 157-166 (1992). MSC: 91B28 PDFBibTeX XMLCite \textit{A. Nairay}, Comput. Math. Appl. 24, No. 8--9, 157--166 (1992; Zbl 0769.90006) Full Text: DOI
Majumdar, Mukul; Radner, Roy Linear models of economic survival under production uncertainty. (English) Zbl 0807.90031 Econ. Theory 1, No. 1, 13-30 (1991). MSC: 91B62 91B38 PDFBibTeX XMLCite \textit{M. Majumdar} and \textit{R. Radner}, Econ. Theory 1, No. 1, 13--30 (1991; Zbl 0807.90031) Full Text: DOI
Norman, Frank Slow learning with small drift in two-absorbing-barrier models. (English) Zbl 0211.23302 J. Math. Psychol. 8, 1-21 (1971). MSC: 91E40 60J05 60J25 PDFBibTeX XMLCite \textit{F. Norman}, J. Math. Psychol. 8, 1--21 (1971; Zbl 0211.23302) Full Text: DOI