Davis, Mark; Lleo, Sébastien 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 PDFBibTeX XMLCite \textit{M. Davis} and \textit{S. Lleo}, World Sci. Ser. Finance 4, 97--127 (2013; Zbl 1292.91159)
Davis, Mark; Lleo, Sébastien Jump-diffusion risk-sensitive asset management I: Diffusion factor model. (English) Zbl 1217.91168 SIAM J. Financ. Math. 2, 22-54 (2011). Reviewer: E. Ahmed (Mansoura) MSC: 91G10 91G80 PDFBibTeX XMLCite \textit{M. Davis} and \textit{S. Lleo}, SIAM J. Financ. Math. 2, 22--54 (2011; Zbl 1217.91168) Full Text: DOI arXiv
Farid, Mohammad; Davis, Mark H. A. Optimal consumption and exploration: A case study in piecewise-deterministic Markov modelling. (English) Zbl 0959.91046 Ann. Oper. Res. 88, 121-137 (1999). Reviewer: Wu Chengxun (Shanghai) MSC: 91B60 93E20 PDFBibTeX XMLCite \textit{M. Farid} and \textit{M. H. A. Davis}, Ann. Oper. Res. 88, 121--137 (1999; Zbl 0959.91046) Full Text: DOI
Davis, Mark H. A.; Farid, Mohammad 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). Reviewer: Michael Kohlmann (Bonn) MSC: 93E20 49L25 PDFBibTeX XMLCite \textit{M. H. A. Davis} and \textit{M. Farid}, in: 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; Zbl 0917.93071)
Davis, M. H. A.; Zervos, M. A pair of explicitly solvable singular stochastic control problems. (English) Zbl 0928.93065 Appl. Math. Optimization 38, No. 3, 327-352 (1998). Reviewer: H.Pragarauskas (Vilnius) MSC: 93E20 33C10 33C15 33C90 PDFBibTeX XMLCite \textit{M. H. A. Davis} and \textit{M. Zervos}, Appl. Math. Optim. 38, No. 3, 327--352 (1998; Zbl 0928.93065) Full Text: DOI
Davis, Mark H. A.; Farid, Mohammad A target recognition problem: Sequential analysis and optimal control. (English) Zbl 0865.49023 SIAM J. Control Optimization 34, No. 6, 2116-2132 (1996); corrections ibid. 36, No. 4, 1481-1484 (1998). Reviewer: W.Kotarski (Sosnowiec) MSC: 49L25 49J40 62C10 62L10 62K05 93C15 PDFBibTeX XMLCite \textit{M. H. A. Davis} and \textit{M. Farid}, SIAM J. Control Optim. 34, No. 6, 2116--2132 (1996; Zbl 0865.49023) Full Text: DOI
Ribeiro do Val, João Bosco; Davis, Mark H. A. Local optimality criteria for stochastic control of piecewise deterministic processes. (Spanish. English summary) Zbl 0721.60079 REBRAPE 2, No. 2, 101-123 (1988). MSC: 60J25 60K10 93E20 PDFBibTeX XMLCite \textit{J. B. Ribeiro do Val} and \textit{M. H. A. Davis}, REBRAPE 2, No. 2, 101--123 (1988; Zbl 0721.60079)