Du, Nguyen Huu; Tuan, Le Anh; Dieu, Nguyen Thanh Stability of stochastic dynamic equations with time-varying delay on time scales. (English) Zbl 1472.60094 Stochastic Anal. Appl. 38, No. 5, 909-928 (2020). MSC: 60H10 60J60 34A40 39A13 PDFBibTeX XMLCite \textit{N. H. Du} et al., Stochastic Anal. Appl. 38, No. 5, 909--928 (2020; Zbl 1472.60094) Full Text: DOI
Pang, Tao; Hussain, Azmat A stochastic portfolio optimization model with complete memory. (English) Zbl 1369.91165 Stochastic Anal. Appl. 35, No. 4, 742-766 (2017). MSC: 91G10 93E20 60H30 49L20 PDFBibTeX XMLCite \textit{T. Pang} and \textit{A. Hussain}, Stochastic Anal. Appl. 35, No. 4, 742--766 (2017; Zbl 1369.91165) Full Text: DOI
Okhrati, Ramin; Assa, Hirbod Representation and approximation of convex dynamic risk measures with respect to strong-weak topologies. (English) Zbl 1369.91202 Stochastic Anal. Appl. 35, No. 4, 604-614 (2017). MSC: 91G99 60H30 46N10 91B30 91G80 PDFBibTeX XMLCite \textit{R. Okhrati} and \textit{H. Assa}, Stochastic Anal. Appl. 35, No. 4, 604--614 (2017; Zbl 1369.91202) Full Text: DOI
Goldys, Ben; Wu, Wei Dynamic programming principle for stochastic control problems driven by general Lévy noise. (English) Zbl 1350.49030 Stochastic Anal. Appl. 34, No. 6, 1083-1093 (2016). MSC: 49L20 60H10 60G51 49J55 93E20 PDFBibTeX XMLCite \textit{B. Goldys} and \textit{W. Wu}, Stochastic Anal. Appl. 34, No. 6, 1083--1093 (2016; Zbl 1350.49030) Full Text: DOI arXiv
Choukroun, Sébastien; Goutte, Stéphane; Ngoupeyou, Armand Mean-variance hedging under multiple defaults risk. (English) Zbl 1329.60175 Stochastic Anal. Appl. 33, No. 5, 757-791 (2015). MSC: 60H10 60J75 91G80 93E20 49L20 PDFBibTeX XMLCite \textit{S. Choukroun} et al., Stochastic Anal. Appl. 33, No. 5, 757--791 (2015; Zbl 1329.60175) Full Text: DOI
Santacroce, M.; Sasso, E.; Trivellato, B.; Covello, D. Power utility maximization problems under partial information and information sufficiency in a Brownian setting. (English) Zbl 1336.91072 Stochastic Anal. Appl. 33, No. 3, 493-509 (2015). MSC: 91G10 60H30 90C39 PDFBibTeX XMLCite \textit{M. Santacroce} et al., Stochastic Anal. Appl. 33, No. 3, 493--509 (2015; Zbl 1336.91072) Full Text: DOI
Deshpande, Amogh Sufficient stochastic maximum principle for the optimal control of semi-Markov modulated jump-diffusion with application to financial optimization. (English) Zbl 1302.93237 Stochastic Anal. Appl. 32, No. 6, 911-933 (2014). MSC: 93E20 60J75 60H30 46N10 90C39 91G10 49N10 PDFBibTeX XMLCite \textit{A. Deshpande}, Stochastic Anal. Appl. 32, No. 6, 911--933 (2014; Zbl 1302.93237) Full Text: DOI arXiv
Xiong, Dewen The exp-UIV for markets with partial information and complete information. (English) Zbl 1311.91199 Stochastic Anal. Appl. 32, No. 5, 851-875 (2014). Reviewer: Monique Pontier (Toulouse) MSC: 91G80 60H30 60G44 PDFBibTeX XMLCite \textit{D. Xiong}, Stochastic Anal. Appl. 32, No. 5, 851--875 (2014; Zbl 1311.91199) Full Text: DOI
Meng, Qingxin General linear quadratic optimal stochastic control problem driven by a Brownian motion and a Poisson random martingale measure with random coefficients. (English) Zbl 1292.93154 Stochastic Anal. Appl. 32, No. 1, 88-109 (2014). MSC: 93E20 49K45 49N10 60H10 PDFBibTeX XMLCite \textit{Q. Meng}, Stochastic Anal. Appl. 32, No. 1, 88--109 (2014; Zbl 1292.93154) Full Text: DOI arXiv
Ma, Lina; Zhang, Jingxiao; Kannan, D. A Markov process modeling and analysis of indifference pricing of insurance contracts for home reversion plan for a pair of insureds. (English) Zbl 1244.91077 Stochastic Anal. Appl. 29, No. 5, 860-880 (2011). Reviewer: Stefan Tappe (Hannover) MSC: 91D20 60H30 60J28 60J65 91B30 49L20 PDFBibTeX XMLCite \textit{L. Ma} et al., Stochastic Anal. Appl. 29, No. 5, 860--880 (2011; Zbl 1244.91077) Full Text: DOI
Shen, Leo; Elliott, Robert J. Backward stochastic differential equations for a single jump process. (English) Zbl 1223.60040 Stochastic Anal. Appl. 29, No. 4, 654-673 (2011). MSC: 60H10 60G42 65C30 PDFBibTeX XMLCite \textit{L. Shen} and \textit{R. J. Elliott}, Stochastic Anal. Appl. 29, No. 4, 654--673 (2011; Zbl 1223.60040) Full Text: DOI
Grow, David; Sanyal, Suman Brownian motion indexed by a time scale. (English) Zbl 1217.60072 Stochastic Anal. Appl. 29, No. 3, 457-472 (2011). MSC: 60J65 26E70 60G05 PDFBibTeX XMLCite \textit{D. Grow} and \textit{S. Sanyal}, Stochastic Anal. Appl. 29, No. 3, 457--472 (2011; Zbl 1217.60072) Full Text: DOI
Wei, Jiaqin; Yang, Hailiang; Wang, Rongming Optimal reinsurance and dividend strategies under the Markov-modulated insurance risk model. (English) Zbl 1219.93148 Stochastic Anal. Appl. 28, No. 6, 1078-1105 (2010). MSC: 93E20 91B70 60H30 91B30 49L20 49L25 PDFBibTeX XMLCite \textit{J. Wei} et al., Stochastic Anal. Appl. 28, No. 6, 1078--1105 (2010; Zbl 1219.93148) Full Text: DOI
Xiong, Dewen; Kohlmann, Michael An \(S\)-related DCV generated by a convex function in a jump market. (English) Zbl 1201.91241 Stochastic Anal. Appl. 28, No. 2, 202-225 (2010). Reviewer: Nikolaos Halidias (Athens) MSC: 91G80 60H30 60G44 PDFBibTeX XMLCite \textit{D. Xiong} and \textit{M. Kohlmann}, Stochastic Anal. Appl. 28, No. 2, 202--225 (2010; Zbl 1201.91241) Full Text: DOI
Kohlmann, Michael; Xiong, Dewen The \(S\)-related dynamic convex valuation in the Brownian motion setting. (English) Zbl 1183.91062 Stochastic Anal. Appl. 28, No. 2, 171-189 (2010). MSC: 91B26 60H30 60G44 PDFBibTeX XMLCite \textit{M. Kohlmann} and \textit{D. Xiong}, Stochastic Anal. Appl. 28, No. 2, 171--189 (2010; Zbl 1183.91062) Full Text: DOI
Xiong, Dewen; Kohlmann, Michael The dynamic convex valuation related to the price process in a market with general jumps. (English) Zbl 1165.60335 Stochastic Anal. Appl. 27, No. 3, 604-636 (2009). MSC: 60H30 60G44 PDFBibTeX XMLCite \textit{D. Xiong} and \textit{M. Kohlmann}, Stochastic Anal. Appl. 27, No. 3, 604--636 (2009; Zbl 1165.60335) Full Text: DOI
Ankirchner, Stefan; Imkeller, Peter; Popier, Alexandre Optimal cross hedging of insurance derivatives. (English) Zbl 1158.60020 Stochastic Anal. Appl. 26, No. 4, 679-709 (2008). Reviewer: Alexandra Rodkina (Kingston/Jamaica) MSC: 60H10 91B30 91B76 93E20 60H30 PDFBibTeX XMLCite \textit{S. Ankirchner} et al., Stochastic Anal. Appl. 26, No. 4, 679--709 (2008; Zbl 1158.60020) Full Text: DOI arXiv
Baten, Md. Azizul; Miah, A. B. M. A. Sobhan Optimal consumption in a growth model with the CES production function. (English) Zbl 1125.60051 Stochastic Anal. Appl. 25, No. 5, 1025-1042 (2007). MSC: 60H10 91B62 49L25 PDFBibTeX XMLCite \textit{Md. A. Baten} and \textit{A. B. M. A. S. Miah}, Stochastic Anal. Appl. 25, No. 5, 1025--1042 (2007; Zbl 1125.60051) Full Text: DOI
Yang, Desheng; Duan, Jinqiao An impact of stochastic dynamic boundary conditions on the evolution of the Cahn-Hilliard system. (English) Zbl 1124.60052 Stochastic Anal. Appl. 25, No. 3, 613-639 (2007). Reviewer: Dirk Blömker (Augsburg) MSC: 60H15 37L55 35R60 37H10 PDFBibTeX XMLCite \textit{D. Yang} and \textit{J. Duan}, Stochastic Anal. Appl. 25, No. 3, 613--639 (2007; Zbl 1124.60052) Full Text: DOI arXiv
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl A note on Merton’s portfolio selection problem for the Schwartz mean-reversion model. (English) Zbl 1074.60068 Stochastic Anal. Appl. 23, No. 4, 687-704 (2005). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60H10 91G10 PDFBibTeX XMLCite \textit{F. E. Benth} and \textit{K. H. Karlsen}, Stochastic Anal. Appl. 23, No. 4, 687--704 (2005; Zbl 1074.60068) Full Text: DOI
Santacroce, Marina On the convergence of the \(p\)-optimal martingale measures to the minimal entropy martingale measure. (English) Zbl 1108.91045 Stochastic Anal. Appl. 23, No. 1, 31-54 (2005). MSC: 91B28 60H30 90C39 PDFBibTeX XMLCite \textit{M. Santacroce}, Stochastic Anal. Appl. 23, No. 1, 31--54 (2005; Zbl 1108.91045) Full Text: DOI
Drozdov, A. D.; Kolmanovskij, V. B. Stochastic stability of viscoelastic bars. (English) Zbl 0749.73038 Stochastic Anal. Appl. 10, No. 3, 265-276 (1992). MSC: 74G60 74Hxx 74K10 60H30 PDFBibTeX XMLCite \textit{A. D. Drozdov} and \textit{V. B. Kolmanovskij}, Stochastic Anal. Appl. 10, No. 3, 265--276 (1992; Zbl 0749.73038) Full Text: DOI