Wang, Yike; Liu, Jingzhen; Wei, Jiaqin Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach. (English) Zbl 1520.91375 Stochastics 95, No. 2, 235-265 (2023). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{Y. Wang} et al., Stochastics 95, No. 2, 235--265 (2023; Zbl 1520.91375) Full Text: DOI
Rozkosz, Andrzej On perpetual American options in a multidimensional Black-Scholes model. (English) Zbl 1492.91386 Stochastics 94, No. 5, 723-744 (2022). MSC: 91G20 60G40 60H10 60H30 PDFBibTeX XMLCite \textit{A. Rozkosz}, Stochastics 94, No. 5, 723--744 (2022; Zbl 1492.91386) Full Text: DOI arXiv
Han, Yuecai; Liu, Chunyang; Song, Qingshuo Pricing double volatility barriers option under stochastic volatility. (English) Zbl 1489.91261 Stochastics 93, No. 4, 625-645 (2021). MSC: 91G20 60H30 62P05 PDFBibTeX XMLCite \textit{Y. Han} et al., Stochastics 93, No. 4, 625--645 (2021; Zbl 1489.91261) Full Text: DOI
Babaei, Esmaeil; Evstigneev, Igor V.; Schenk-Hoppé, Klaus Reiner; Zhitlukhin, Mikhail Von Neumann-Gale model, market frictions and capital growth. (English) Zbl 1489.91155 Stochastics 93, No. 2, 279-310 (2021). MSC: 91B62 60G17 60G42 PDFBibTeX XMLCite \textit{E. Babaei} et al., Stochastics 93, No. 2, 279--310 (2021; Zbl 1489.91155) Full Text: DOI
Momeya, Romuald Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model. (English) Zbl 1494.91160 Stochastics 90, No. 8, 1238-1275 (2018). MSC: 91G20 49L25 60G51 45K05 PDFBibTeX XMLCite \textit{R. Momeya}, Stochastics 90, No. 8, 1238--1275 (2018; Zbl 1494.91160) Full Text: DOI
Li, Yusong; Zheng, Harry Dynamic convex duality in constrained utility maximization. (English) Zbl 1498.91185 Stochastics 90, No. 8, 1145-1169 (2018). MSC: 91B16 60H30 90C26 90C46 93E20 PDFBibTeX XMLCite \textit{Y. Li} and \textit{H. Zheng}, Stochastics 90, No. 8, 1145--1169 (2018; Zbl 1498.91185) Full Text: DOI arXiv
Belak, Christoph; Menkens, Olaf; Sass, Jörn Worst-case portfolio optimization with proportional transaction costs. (English) Zbl 1414.91329 Stochastics 87, No. 4, 623-663 (2015). MSC: 91G10 91A15 90C39 93E20 PDFBibTeX XMLCite \textit{C. Belak} et al., Stochastics 87, No. 4, 623--663 (2015; Zbl 1414.91329) Full Text: DOI Link
Choi, Jin Hyuk Asymptotic analysis for Merton’s problem with transaction costs in power utility case. (English) Zbl 1337.91075 Stochastics 86, No. 5, 803-816 (2014). MSC: 91G10 PDFBibTeX XMLCite \textit{J. H. Choi}, Stochastics 86, No. 5, 803--816 (2014; Zbl 1337.91075) Full Text: DOI arXiv
Holden, Helge; Holden, Lars Optimal rebalancing of portfolios with transaction costs. (English) Zbl 1285.91118 Stochastics 85, No. 3, 371-394 (2013). MSC: 91G10 PDFBibTeX XMLCite \textit{H. Holden} and \textit{L. Holden}, Stochastics 85, No. 3, 371--394 (2013; Zbl 1285.91118) Full Text: DOI
Mao, Xuerong; Sabanis, Sotirios Delay geometric Brownian motion in financial option valuation. (English) Zbl 1291.60122 Stochastics 85, No. 2, 295-320 (2013). Reviewer: Nikolaos Halidias (Athens) MSC: 60H10 PDFBibTeX XMLCite \textit{X. Mao} and \textit{S. Sabanis}, Stochastics 85, No. 2, 295--320 (2013; Zbl 1291.60122) Full Text: DOI Link
Fei, Weiyin Optimal consumption and portfolio under inflation and Markovian switching. (English) Zbl 1285.91117 Stochastics 85, No. 2, 272-285 (2013). MSC: 91G10 60H10 93E20 PDFBibTeX XMLCite \textit{W. Fei}, Stochastics 85, No. 2, 272--285 (2013; Zbl 1285.91117) Full Text: DOI
Benth, Fred Espen; Schmeck, Maren Diane Stability of Merton’s portfolio optimization problem for Lévy models. (English) Zbl 1284.93258 Stochastics 85, No. 5, 833-858 (2013). MSC: 93E20 60H30 91G10 60J75 PDFBibTeX XMLCite \textit{F. E. Benth} and \textit{M. D. Schmeck}, Stochastics 85, No. 5, 833--858 (2013; Zbl 1284.93258) Full Text: DOI Link
Soner, H. Mete; Vukelja, M. Utility maximization in an illiquid market. (English) Zbl 1284.91193 Stochastics 85, No. 4, 692-706 (2013). MSC: 91B26 90C39 93E20 60H30 PDFBibTeX XMLCite \textit{H. M. Soner} and \textit{M. Vukelja}, Stochastics 85, No. 4, 692--706 (2013; Zbl 1284.91193) Full Text: DOI Link
Brody, Dorje C.; Hughston, Lane P.; Mackie, Ewan Rational term structure models with geometric Lévy martingales. (English) Zbl 1258.91211 Stochastics 84, No. 5-6, 719-740 (2012). MSC: 91G30 60G51 91G20 PDFBibTeX XMLCite \textit{D. C. Brody} et al., Stochastics 84, No. 5--6, 719--740 (2012; Zbl 1258.91211) Full Text: DOI arXiv
Gerhold, Stefan; Muhle-Karbe, Johannes; Schachermayer, Walter Asymptotics and duality for the Davis and Norman problem. (English) Zbl 1276.91093 Stochastics 84, No. 5-6, 625-641 (2012). Reviewer: Yuri Kifer (Jerusalem) MSC: 91G10 91B16 60H10 PDFBibTeX XMLCite \textit{S. Gerhold} et al., Stochastics 84, No. 5--6, 625--641 (2012; Zbl 1276.91093) Full Text: DOI arXiv
Zeghal, Amina Bouzguenda; Mnif, Mohamed Optimal selection portfolio problem: a semi-linear PDE approach. (English) Zbl 1251.91057 Stochastics 84, No. 2-3, 199-215 (2012). MSC: 91G10 91G60 93E20 35Q91 60H30 60H10 PDFBibTeX XMLCite \textit{A. B. Zeghal} and \textit{M. Mnif}, Stochastics 84, No. 2--3, 199--215 (2012; Zbl 1251.91057) Full Text: DOI
Ceci, Claudia; Gerardi, Anna Wealth optimization and dual problems for jump stock dynamics with stochastic factor. (English) Zbl 1211.91255 Stochastics 82, No. 4-6, 403-425 (2010). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G80 91B70 60J75 91B16 93E20 PDFBibTeX XMLCite \textit{C. Ceci} and \textit{A. Gerardi}, Stochastics 82, No. 4--6, 403--425 (2010; Zbl 1211.91255) Full Text: DOI
Bagchi, Arunabha; Kumar, K. Suresh Dynamic asset management with risk-sensitive criterion and non-negative factor constraints: a differential game approach. (English) Zbl 1175.91154 Stochastics 81, No. 5, 503-530 (2009). MSC: 91G10 93E20 49L20 35K55 60H30 PDFBibTeX XMLCite \textit{A. Bagchi} and \textit{K. S. Kumar}, Stochastics 81, No. 5, 503--530 (2009; Zbl 1175.91154) Full Text: DOI
Wittmüss, Wiebke Robust optimization of consumption with random endowment. (English) Zbl 1153.91413 Stochastics 80, No. 5, 459-475 (2008). MSC: 91B16 91B28 62C20 PDFBibTeX XMLCite \textit{W. Wittmüss}, Stochastics 80, No. 5, 459--475 (2008; Zbl 1153.91413) Full Text: DOI Link
Lindberg, Carl Portfolio optimization and a factor model in a stochastic volatility market. (English) Zbl 1280.91152 Stochastics 78, No. 5, 259-279 (2006). MSC: 91G10 60H30 49L20 60H10 PDFBibTeX XMLCite \textit{C. Lindberg}, Stochastics 78, No. 5, 259--279 (2006; Zbl 1280.91152) Full Text: DOI