Chen, Kexin; Jeon, Junkee; Wong, Hoi Ying Optimal retirement under partial information. (English) Zbl 1509.60098 Math. Oper. Res. 47, No. 3, 1802-1832 (2022). Reviewer: Krzysztof J. Szajowski (Wrocław) MSC: 60G40 93E20 49K10 PDFBibTeX XMLCite \textit{K. Chen} et al., Math. Oper. Res. 47, No. 3, 1802--1832 (2022; Zbl 1509.60098) Full Text: DOI
Amini, Hamed; Minca, Andreea; Sulem, Agnès A dynamic contagion risk model with recovery features. (English) Zbl 1489.91297 Math. Oper. Res. 47, No. 2, 1412-1442 (2022). MSC: 91G45 60J10 90B10 90B15 PDFBibTeX XMLCite \textit{H. Amini} et al., Math. Oper. Res. 47, No. 2, 1412--1442 (2022; Zbl 1489.91297) Full Text: DOI HAL
González Cázares, Jorge Ignacio; Mijatović, Aleksandar; Uribe Bravo, Gerónimo Geometrically convergent simulation of the extrema of Lévy processes. (English) Zbl 1495.60037 Math. Oper. Res. 47, No. 2, 1141-1168 (2022). MSC: 60G51 65C05 PDFBibTeX XMLCite \textit{J. I. González Cázares} et al., Math. Oper. Res. 47, No. 2, 1141--1168 (2022; Zbl 1495.60037) Full Text: DOI arXiv
Feinstein, Zachary; Rudloff, Birgit Scalar multivariate risk measures with a single eligible asset. (English) Zbl 1489.91313 Math. Oper. Res. 47, No. 2, 899-922 (2022). MSC: 91G70 26E25 46A20 91B05 PDFBibTeX XMLCite \textit{Z. Feinstein} and \textit{B. Rudloff}, Math. Oper. Res. 47, No. 2, 899--922 (2022; Zbl 1489.91313) Full Text: DOI arXiv
He, Xue Dong; Jiang, Zhaoli Mean-variance portfolio selection with dynamic targets for expected terminal wealth. (English) Zbl 1491.91120 Math. Oper. Res. 47, No. 1, 587-615 (2022). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{X. D. He} and \textit{Z. Jiang}, Math. Oper. Res. 47, No. 1, 587--615 (2022; Zbl 1491.91120) Full Text: DOI
De Angelis, Tiziano; Ekström, Erik; Glover, Kristoffer Dynkin games with incomplete and asymmetric information. (English) Zbl 1491.91018 Math. Oper. Res. 47, No. 1, 560-586 (2022). MSC: 91A15 91A27 91A05 91A55 60G40 PDFBibTeX XMLCite \textit{T. De Angelis} et al., Math. Oper. Res. 47, No. 1, 560--586 (2022; Zbl 1491.91018) Full Text: DOI arXiv
Sirignano, Justin; Spiliopoulos, Konstantinos Mean field analysis of deep neural networks. (English) Zbl 1493.68333 Math. Oper. Res. 47, No. 1, 120-152 (2022). Reviewer: Arzu Ahmadova (Essen) MSC: 68T07 60F05 82C32 PDFBibTeX XMLCite \textit{J. Sirignano} and \textit{K. Spiliopoulos}, Math. Oper. Res. 47, No. 1, 120--152 (2022; Zbl 1493.68333) Full Text: DOI arXiv
Liu, Fangda; Wang, Ruodu A theory for measures of tail risk. (English) Zbl 1471.91626 Math. Oper. Res. 46, No. 3, 1109-1128 (2021). MSC: 91G70 91G45 PDFBibTeX XMLCite \textit{F. Liu} and \textit{R. Wang}, Math. Oper. Res. 46, No. 3, 1109--1128 (2021; Zbl 1471.91626) Full Text: DOI
Huang, Yu-Jui; Zhou, Zhou Strong and weak equilibria for time-inconsistent stochastic control in continuous time. (English) Zbl 1476.93160 Math. Oper. Res. 46, No. 2, 428-451 (2021). MSC: 93E20 93C55 60J28 90B25 PDFBibTeX XMLCite \textit{Y.-J. Huang} and \textit{Z. Zhou}, Math. Oper. Res. 46, No. 2, 428--451 (2021; Zbl 1476.93160) Full Text: DOI arXiv
Callegaro, Giorgia; Grasselli, Martino; Pagès, Gilles Fast hybrid schemes for fractional Riccati equations (rough is not so tough). (English) Zbl 1481.60079 Math. Oper. Res. 46, No. 1, 221-254 (2021). MSC: 60G22 34A08 91G30 91G80 PDFBibTeX XMLCite \textit{G. Callegaro} et al., Math. Oper. Res. 46, No. 1, 221--254 (2021; Zbl 1481.60079) Full Text: DOI arXiv
Deng, Shuoqing; Tan, Xiaolu; Yu, Xiang Utility maximization with proportional transaction costs under model uncertainty. (English) Zbl 1455.91245 Math. Oper. Res. 45, No. 4, 1210-1236 (2020). MSC: 91G15 91B16 PDFBibTeX XMLCite \textit{S. Deng} et al., Math. Oper. Res. 45, No. 4, 1210--1236 (2020; Zbl 1455.91245) Full Text: DOI arXiv
Capponi, Agostino; Sun, Xu; Yao, David D. A dynamic network model of interbank lending – systemic risk and liquidity provisioning. (English) Zbl 1457.91406 Math. Oper. Res. 45, No. 3, 1127-1152 (2020). MSC: 91G45 PDFBibTeX XMLCite \textit{A. Capponi} et al., Math. Oper. Res. 45, No. 3, 1127--1152 (2020; Zbl 1457.91406) Full Text: DOI
Wang, Ruodu; Wei, Yunran; Willmot, Gordon E. Characterization, robustness, and aggregation of signed Choquet integrals. (English) Zbl 1455.91072 Math. Oper. Res. 45, No. 3, 993-1015 (2020). MSC: 91B05 62G35 91G10 PDFBibTeX XMLCite \textit{R. Wang} et al., Math. Oper. Res. 45, No. 3, 993--1015 (2020; Zbl 1455.91072) Full Text: DOI
Xu, Zuo Quan; Yi, Fahuai Optimal redeeming strategy of stock loans under drift uncertainty. (English) Zbl 1437.91423 Math. Oper. Res. 45, No. 1, 384-401 (2020). MSC: 91G15 60G40 PDFBibTeX XMLCite \textit{Z. Q. Xu} and \textit{F. Yi}, Math. Oper. Res. 45, No. 1, 384--401 (2020; Zbl 1437.91423) Full Text: DOI arXiv
Burzoni, Matteo; Frittelli, Marco; Hou, Zhaoxu; Maggis, Marco; Obłój, Jan Pointwise arbitrage pricing theory in discrete time. (English) Zbl 1437.90159 Math. Oper. Res. 44, No. 3, 1034-1057 (2019). MSC: 90C46 90C47 90C17 91G20 49K45 49N15 60G42 93E20 91G70 PDFBibTeX XMLCite \textit{M. Burzoni} et al., Math. Oper. Res. 44, No. 3, 1034--1057 (2019; Zbl 1437.90159) Full Text: DOI arXiv
De Angelis, Tiziano; Ferrari, Giorgio; Moriarty, John A solvable two-dimensional degenerate singular stochastic control problem with nonconvex costs. (English) Zbl 1443.91215 Math. Oper. Res. 44, No. 2, 512-531 (2019). MSC: 91B70 93E20 60G40 49L20 PDFBibTeX XMLCite \textit{T. De Angelis} et al., Math. Oper. Res. 44, No. 2, 512--531 (2019; Zbl 1443.91215) Full Text: DOI arXiv Link
Bayraktar, Erhan; Zhou, Zhou No-arbitrage and hedging with liquid American options. (English) Zbl 1433.91169 Math. Oper. Res. 44, No. 2, 468-486 (2019). MSC: 91G20 60G40 PDFBibTeX XMLCite \textit{E. Bayraktar} and \textit{Z. Zhou}, Math. Oper. Res. 44, No. 2, 468--486 (2019; Zbl 1433.91169) Full Text: DOI arXiv
Kruse, Thomas; Strack, Philipp An inverse optimal stopping problem for diffusion processes. (English) Zbl 1443.91199 Math. Oper. Res. 44, No. 2, 423-439 (2019). MSC: 91B43 60G40 60J60 91B03 PDFBibTeX XMLCite \textit{T. Kruse} and \textit{P. Strack}, Math. Oper. Res. 44, No. 2, 423--439 (2019; Zbl 1443.91199) Full Text: DOI arXiv
Schied, Alexander; Zhang, Tao A market impact game under transient price impact. (English) Zbl 1443.91278 Math. Oper. Res. 44, No. 1, 102-121 (2019). MSC: 91G15 91A05 91A80 PDFBibTeX XMLCite \textit{A. Schied} and \textit{T. Zhang}, Math. Oper. Res. 44, No. 1, 102--121 (2019; Zbl 1443.91278) Full Text: DOI arXiv
Krätschmer, Volker; Ladkau, Marcel; Laeven, Roger J. A.; Schoenmakers, John G. M.; Stadje, Mitja Optimal stopping under uncertainty in drift and jump intensity. (English) Zbl 1440.60035 Math. Oper. Res. 43, No. 4, 1177-1209 (2018). MSC: 60G40 91B06 91B16 PDFBibTeX XMLCite \textit{V. Krätschmer} et al., Math. Oper. Res. 43, No. 4, 1177--1209 (2018; Zbl 1440.60035) Full Text: DOI
Bielecki, Tomasz R.; Cialenco, Igor; Pitera, Marcin A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time. (English) Zbl 1443.91099 Math. Oper. Res. 43, No. 1, 204-221 (2018). MSC: 91B05 91B06 PDFBibTeX XMLCite \textit{T. R. Bielecki} et al., Math. Oper. Res. 43, No. 1, 204--221 (2018; Zbl 1443.91099) Full Text: DOI arXiv
Kelly, Frank; Yudovina, Elena A Markov model of a limit order book: thresholds, recurrence, and trading strategies. (English) Zbl 1434.60268 Math. Oper. Res. 43, No. 1, 181-203 (2018). MSC: 60K30 91G80 PDFBibTeX XMLCite \textit{F. Kelly} and \textit{E. Yudovina}, Math. Oper. Res. 43, No. 1, 181--203 (2018; Zbl 1434.60268) Full Text: DOI arXiv
Alfonsi, Aurélien; Klöck, Florian; Schied, Alexander Multivariate transient price impact and matrix-valued positive definite functions. (English) Zbl 1352.42011 Math. Oper. Res. 41, No. 3, 914-934 (2016). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 42A82 90C20 91G10 91G80 PDFBibTeX XMLCite \textit{A. Alfonsi} et al., Math. Oper. Res. 41, No. 3, 914--934 (2016; Zbl 1352.42011) Full Text: DOI arXiv
Dai, Min; Yang, Zhou; Zhang, Qing; Zhu, Qiji Jim Optimal trend following trading rules. (English) Zbl 1336.91063 Math. Oper. Res. 41, No. 2, 626-642 (2016). MSC: 91G10 91G80 93E11 93E20 PDFBibTeX XMLCite \textit{M. Dai} et al., Math. Oper. Res. 41, No. 2, 626--642 (2016; Zbl 1336.91063) Full Text: DOI Link
Fusai, Gianluca; Kyriakou, Ioannis General optimized lower and upper bounds for discrete and continuous arithmetic Asian options. (English) Zbl 1336.91074 Math. Oper. Res. 41, No. 2, 531-559 (2016). MSC: 91G20 60H30 91G60 PDFBibTeX XMLCite \textit{G. Fusai} and \textit{I. Kyriakou}, Math. Oper. Res. 41, No. 2, 531--559 (2016; Zbl 1336.91074) Full Text: DOI Link
Mastrogiacomo, Elisa; Gianin, Emanuela Rosazza Portfolio optimization with quasiconvex risk measures. (English) Zbl 1330.90129 Math. Oper. Res. 40, No. 4, 1042-1059 (2015). MSC: 90C46 91B30 46E30 90C26 91G10 91G80 PDFBibTeX XMLCite \textit{E. Mastrogiacomo} and \textit{E. R. Gianin}, Math. Oper. Res. 40, No. 4, 1042--1059 (2015; Zbl 1330.90129) Full Text: DOI Link
Zhang, Xiaowei; Blanchet, Jose; Giesecke, Kay; Glynn, Peter W. Affine point processes: approximation and efficient simulation. (English) Zbl 1331.60084 Math. Oper. Res. 40, No. 4, 797-819 (2015). MSC: 60G55 60F05 60F10 60J60 60J75 60H10 60H35 65C30 PDFBibTeX XMLCite \textit{X. Zhang} et al., Math. Oper. Res. 40, No. 4, 797--819 (2015; Zbl 1331.60084) Full Text: DOI Link
Takahashi, Akihiko; Yamada, Toshihiro On error estimates for asymptotic expansions with Malliavin weights: application to stochastic volatility model. (English) Zbl 1337.60158 Math. Oper. Res. 40, No. 3, 513-541 (2015). MSC: 60H30 60H07 91G20 91G80 91G60 PDFBibTeX XMLCite \textit{A. Takahashi} and \textit{T. Yamada}, Math. Oper. Res. 40, No. 3, 513--541 (2015; Zbl 1337.60158) Full Text: DOI Link
Kratz, Peter An explicit solution of a nonlinear-quadratic constrained stochastic control problem with jumps: optimal liquidation in dark pools with adverse selection. (English) Zbl 1312.93114 Math. Oper. Res. 39, No. 4, 1198-1220 (2014). MSC: 93E20 90C39 91B30 91B70 91G10 60J75 PDFBibTeX XMLCite \textit{P. Kratz}, Math. Oper. Res. 39, No. 4, 1198--1220 (2014; Zbl 1312.93114) Full Text: DOI arXiv
Cai, Ning; Li, Chenxu; Shi, Chao Closed-form expansions of discretely monitored Asian options in diffusion models. (English) Zbl 1334.60118 Math. Oper. Res. 39, No. 3, 789-822 (2014). MSC: 60H30 60H10 60J60 60H07 60H35 91B24 91B70 91G80 65C30 PDFBibTeX XMLCite \textit{N. Cai} et al., Math. Oper. Res. 39, No. 3, 789--822 (2014; Zbl 1334.60118) Full Text: DOI Link