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Found 7 Documents (Results 1–7)

Jump-diffusion risk-sensitive benchmarked asset management. (English) Zbl 1292.91159

Gassmann, Horand I. (ed.) et al., Stochastic programming. Applications in finance, energy, planning and logistics. Based on the 12th international conference on stochastic programming (ICSP 12), Halifax, Ns, Canada, August, 2010. Hackensack, NJ: World Scientific (ISBN 978-981-4407-50-2/hbk; 978-981-4407-52-6/ebook). World Scientific Series in Finance 4, 97-127 (2013).
MSC:  91G10 91G80 35R09 35Q91 60G51 60J75 93E20
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Piecewise-deterministic processes and viscosity solutions. (English) Zbl 0917.93071

McEneaney, William M. (ed.) et al., Stochastic analysis, control, optimization and applications. A volume in honor of Wendell H. Fleming, on the occasion of his 70th birthday. Boston: Birkhäuser. 249-268 (1999).
MSC:  93E20 49L25
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