Edit Profile (opens in new tab) Pirvu, Traian A. Compute Distance To: Compute Author ID: pirvu.traian-a Published as: Pirvu, Traian A.; Pirvu, T. A. External Links: MGP Documents Indexed: 25 Publications since 2005 Co-Authors: 22 Co-Authors with 23 Joint Publications 316 Co-Co-Authors all top 5 Co-Authors 2 single-authored 4 Covei, Dragoş-Pătru 3 Canepa, Elena Cristina 3 Kwak, Minsuk 3 Zhang, Huayue 2 Ekeland, Ivar 2 Haussmann, Ulrich G. 2 Horst, Ulrich 1 Canepa, Cristina 1 Cheridito, Patrick 1 dos Reis, Gonçalo 1 Jevtić, Petar 1 Jewell, Sean W. 1 Kupper, Michael 1 Mbodji, O. S. 1 Mbodji, Oumar 1 Nguyen-Huu, Adrien 1 Paryab, Khalil 1 Schulze, Klaas 1 Shreve, Steven E. 1 Tütüncü, Reha H. 1 Yazdanian, A. R. 1 Žitković, Gordan all top 5 Serials 3 Mathematics and Financial Economics 2 Mathematical Social Sciences 2 SIAM Journal on Financial Mathematics 1 Mathematics of Operations Research 1 Insurance Mathematics & Economics 1 Operations Research Letters 1 Applied Mathematics Letters 1 International Journal of Computer Mathematics 1 The Canadian Applied Mathematics Quarterly 1 Finance and Stochastics 1 Mathematical Finance 1 Quantitative Finance 1 Journal of Applied Mathematics 1 Proceedings of the Romanian Academy. Series A: Mathematics, Physics, Technical Sciences, Information Science 1 Fixed Point Theory 1 Carpathian Journal of Mathematics 1 Journal of Industrial and Management Optimization 1 Stochastics 1 European Actuarial Journal all top 5 Fields 21 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 10 Probability theory and stochastic processes (60-XX) 5 Operations research, mathematical programming (90-XX) 3 Partial differential equations (35-XX) 2 Systems theory; control (93-XX) 1 Operator theory (47-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Statistics (62-XX) 1 Numerical analysis (65-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 18 Publications have been cited 301 times in 228 Documents Cited by ▼ Year ▼ Investment and consumption without commitment. Zbl 1177.91123Ekeland, Ivar; Pirvu, Traian A. 119 2008 Time-consistent portfolio management. Zbl 1257.91040Ekeland, Ivar; Mbodji, Oumar; Pirvu, Traian A. 71 2012 Optimal investment, consumption and life insurance under mean-reverting returns: the complete market solution. Zbl 1284.91529Pirvu, Traian A.; Zhang, Huayue 20 2012 Equilibrium pricing in incomplete markets under translation invariant preferences. Zbl 1410.91439Cheridito, Patrick; Horst, Ulrich; Kupper, Michael; Pirvu, Traian A. 19 2016 Multi-stock portfolio optimization under prospect theory. Zbl 1260.91231Pirvu, Traian A.; Schulze, Klaas 14 2012 Portfolio optimization under the value-at-risk constraint. Zbl 1278.91149Pirvu, Traian A. 11 2007 Investment-consumption with regime-switching discount rates. Zbl 1308.91146Pirvu, Traian A.; Zhang, Huayue 11 2014 Satisfying convex risk limits by trading. Zbl 1092.91048Larsen, Kasper; Pirvu, Traian A.; Shreve, Steven E.; Tütüncü, Reha 9 2005 On securitization, market completion and equilibrium risk transfer. Zbl 1255.91401Horst, Ulrich; Pirvu, Traian A.; dos Reis, Gonçalo 9 2010 A stochastic control problem with regime switching. Zbl 1488.93186Covei, Dragoş-Pătru; Pirvu, Traian A. 4 2021 Cumulative prospect theory with generalized hyperbolic skewed \(t\) distribution. Zbl 1408.91198Kwak, Minsuk; Pirvu, Traian A. 3 2018 An elliptic partial differential equation and its application. Zbl 1430.35073Covei, Dragos-Patru; Pirvu, Traian A. 3 2020 Maximizing the growth rate under risk constraints. Zbl 1168.91398Pirvu, Traian A.; Žitković, Gordan 2 2009 A stochastic production planning problem. Zbl 1502.90067Canepa, E. C.; Covei, D.-P.; Pirvu, T. A. 2 2022 Time consistent utility maximization. Zbl 1232.91634Pirvu, Traian A.; Haussmann, Ulrich G. 1 2009 A multiperiod equilibrium pricing model. Zbl 1406.91151Kwak, Minsuk; Pirvu, Traian A.; Zhang, Huayue 1 2014 Non-linear equity portfolio variance reduction under a mean-variance framework – a delta-gamma approach. Zbl 1287.91134Jewell, Sean W.; Li, Yang; Pirvu, Traian A. 1 2013 Stochastic production planning with regime switching. Zbl 07616025Covei, Dragos-Patru; Canepa, Elena Cristina; Pirvu, Traian A. 1 2023 Stochastic production planning with regime switching. Zbl 07616025Covei, Dragos-Patru; Canepa, Elena Cristina; Pirvu, Traian A. 1 2023 A stochastic production planning problem. Zbl 1502.90067Canepa, E. C.; Covei, D.-P.; Pirvu, T. A. 2 2022 A stochastic control problem with regime switching. Zbl 1488.93186Covei, Dragoş-Pătru; Pirvu, Traian A. 4 2021 An elliptic partial differential equation and its application. Zbl 1430.35073Covei, Dragos-Patru; Pirvu, Traian A. 3 2020 Cumulative prospect theory with generalized hyperbolic skewed \(t\) distribution. Zbl 1408.91198Kwak, Minsuk; Pirvu, Traian A. 3 2018 Equilibrium pricing in incomplete markets under translation invariant preferences. Zbl 1410.91439Cheridito, Patrick; Horst, Ulrich; Kupper, Michael; Pirvu, Traian A. 19 2016 Investment-consumption with regime-switching discount rates. Zbl 1308.91146Pirvu, Traian A.; Zhang, Huayue 11 2014 A multiperiod equilibrium pricing model. Zbl 1406.91151Kwak, Minsuk; Pirvu, Traian A.; Zhang, Huayue 1 2014 Non-linear equity portfolio variance reduction under a mean-variance framework – a delta-gamma approach. Zbl 1287.91134Jewell, Sean W.; Li, Yang; Pirvu, Traian A. 1 2013 Time-consistent portfolio management. Zbl 1257.91040Ekeland, Ivar; Mbodji, Oumar; Pirvu, Traian A. 71 2012 Optimal investment, consumption and life insurance under mean-reverting returns: the complete market solution. Zbl 1284.91529Pirvu, Traian A.; Zhang, Huayue 20 2012 Multi-stock portfolio optimization under prospect theory. Zbl 1260.91231Pirvu, Traian A.; Schulze, Klaas 14 2012 On securitization, market completion and equilibrium risk transfer. Zbl 1255.91401Horst, Ulrich; Pirvu, Traian A.; dos Reis, Gonçalo 9 2010 Maximizing the growth rate under risk constraints. Zbl 1168.91398Pirvu, Traian A.; Žitković, Gordan 2 2009 Time consistent utility maximization. Zbl 1232.91634Pirvu, Traian A.; Haussmann, Ulrich G. 1 2009 Investment and consumption without commitment. Zbl 1177.91123Ekeland, Ivar; Pirvu, Traian A. 119 2008 Portfolio optimization under the value-at-risk constraint. Zbl 1278.91149Pirvu, Traian A. 11 2007 Satisfying convex risk limits by trading. Zbl 1092.91048Larsen, Kasper; Pirvu, Traian A.; Shreve, Steven E.; Tütüncü, Reha 9 2005 all cited Publications top 5 cited Publications all top 5 Cited by 309 Authors 21 Wei, Jiaqin 9 Zeng, Yan 8 Pirvu, Traian A. 8 Zhao, Qian 7 Shen, Yang 7 Wang, Tianxiao 6 He, Xuedong 6 Jin, Zhuo 6 Li, Zhongfei 6 Wang, Rongming 5 Huang, Yu-Jui 5 Kupper, Michael 5 Marín-Solano, Jesús 5 Yong, Jiongmin 4 Alia, Ishak 4 Chen, Shumin 4 Covei, Dragoş-Pătru 4 dos Reis, Gonçalo 4 Horst, Ulrich 4 Liang, Zongxia 4 Navas, Jorge A. 4 Siu, Tak Kuen 4 Stadje, Mitja 4 Wang, Hao 4 Yam, Sheung Chi Phillip 4 Zhou, Xunyu 4 Zhou, Zhou 3 Bensoussan, Alain 3 Chen, Shou 3 Delong, Łukasz 3 Li, Xun 3 Li, Yongwu 3 Lou, Youcheng 3 Mei, Hongwei 3 Ni, Yuanhua 3 Possamaï, Dylan 3 Steffensen, Mogens 3 Wang, Haiyang 3 Wedge, Lei 3 Wu, Huiling 3 Wu, Zhen 3 Young, Virginia R. 3 Zou, Ziran 2 Björk, Tomas 2 Canepa, Elena Cristina 2 Chen, Ping 2 Chen, Zhiping 2 Chighoub, Farid 2 de-Paz, Albert 2 Drapeau, Samuel 2 Feinstein, Zachary 2 Fu, Richard 2 Fukasawa, Masaaki 2 Hamaguchi, Yushi 2 He, Lin 2 Hernández, Camilo 2 Hu, Ying 2 Jamneshan, Asgar 2 Jarrow, Robert Alan 2 Jiang, Zhaoli 2 Karliczek, Martin 2 Kloeden, Peter Eris 2 Kwak, Minsuk 2 Li, Bin 2 Li, Danping 2 Li, Duan 2 Liang, Xiaoqing 2 Lindensjö, Kristoffer 2 Liu, Yang 2 Londoño, Jaime A. 2 Ma, Ming 2 Muhle-Karbe, Johannes 2 Murgoci, Agatha 2 Nguyen-Huu, Adrien 2 Nutz, Marcel 2 Pedersen, Jesper Lund 2 Peng, Ling 2 Peskir, Goran 2 Pflug, Georg Ch. 2 Roch, Oriol 2 Si, Binbin 2 Sircar, Ronnie 2 Sohail, Ayesha 2 Strub, Moris S. 2 Tan, Ken Seng 2 Wang, Liyuan 2 Wang, Shouyang 2 Wei, Qingmeng 2 Wong, Hoi Ying 2 Wong, Kwok Chuen 2 Wozabal, David 2 Yang, Peng 2 Yin, George Gang 2 Zagst, Rudi 2 Zhang, Huayue 2 Zhang, Jifeng 2 Zhao, Yongxia 2 Zheng, Harry H. 2 Žitković, Gordan 2 Zou, Bin ...and 209 more Authors all top 5 Cited in 66 Serials 29 Insurance Mathematics & Economics 17 SIAM Journal on Control and Optimization 14 Finance and Stochastics 10 SIAM Journal on Financial Mathematics 8 Quantitative Finance 7 Communications in Statistics. Theory and Methods 7 European Journal of Operational Research 7 Mathematics and Financial Economics 7 Mathematical Control and Related Fields 6 Scandinavian Actuarial Journal 6 Journal of Industrial and Management Optimization 5 Applied Mathematics and Optimization 4 Journal of Optimization Theory and Applications 4 Mathematics of Operations Research 4 Operations Research Letters 4 The Annals of Applied Probability 4 Stochastic Processes and their Applications 4 Mathematical Finance 4 Mathematical Methods of Operations Research 4 International Journal of Theoretical and Applied Finance 3 Journal of Mathematical Economics 3 Mathematical Social Sciences 3 Optimization 3 Journal of Economic Dynamics & Control 3 Annals of Finance 2 International Journal of Control 2 Journal of Mathematical Analysis and Applications 2 Automatica 2 Journal of Computational and Applied Mathematics 2 Journal of Economic Theory 2 Mathematical Problems in Engineering 2 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 2 Discrete Dynamics in Nature and Society 2 OR Spectrum 2 Stochastics and Dynamics 2 Computational Management Science 2 Dynamic Games and Applications 2 Electronic Research Archive 1 Chaos, Solitons and Fractals 1 The Annals of Probability 1 Operations Research 1 Theory and Decision 1 Transactions of the American Mathematical Society 1 Acta Mathematicae Applicatae Sinica. English Series 1 Annals of Operations Research 1 Economics Letters 1 Automation and Remote Control 1 International Journal of Computer Mathematics 1 Electronic Journal of Probability 1 Abstract and Applied Analysis 1 Journal of Dynamical and Control Systems 1 Optimization and Engineering 1 Journal of Systems Science and Complexity 1 Journal of Applied Mathematics 1 ASTIN Bulletin 1 Journal of Applied Mathematics and Computing 1 North American Actuarial Journal 1 Fixed Point Theory 1 Fixed Point Theory and Applications 1 Stochastics 1 Optimization Letters 1 Discrete and Continuous Dynamical Systems. Series S 1 European Actuarial Journal 1 Statistics & Risk Modeling 1 Journal of the Operations Research Society of China 1 Modern Stochastics. Theory and Applications all top 5 Cited in 20 Fields 196 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 80 Probability theory and stochastic processes (60-XX) 76 Systems theory; control (93-XX) 46 Calculus of variations and optimal control; optimization (49-XX) 24 Operations research, mathematical programming (90-XX) 11 Statistics (62-XX) 7 Partial differential equations (35-XX) 3 Ordinary differential equations (34-XX) 3 Difference and functional equations (39-XX) 3 Integral equations (45-XX) 3 Functional analysis (46-XX) 2 Mathematical logic and foundations (03-XX) 2 Real functions (26-XX) 2 Measure and integration (28-XX) 2 General topology (54-XX) 2 Global analysis, analysis on manifolds (58-XX) 2 Numerical analysis (65-XX) 1 Order, lattices, ordered algebraic structures (06-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Operator theory (47-XX) Citations by Year