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Reikvam, Kristin

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Author ID: reikvam.kristin Recent zbMATH articles by "Reikvam, Kristin"
Published as: Reikvam, Kristin; Reikvam, K.
Documents Indexed: 10 Publications since 1998

Publications by Year

Citations contained in zbMATH Open

10 Publications have been cited 138 times in 108 Documents Cited by Year
Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach. Zbl 0978.91039
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin
38
2001
Merton’s portfolio optimization problem in a Black and Scholes market with non-Gaussian stochastic volatility of Ornstein-Uhlenbeck type. Zbl 1049.91060
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin
24
2003
Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs. Zbl 1035.91027
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin
18
2002
Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution. Zbl 1049.91059
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin
18
2001
A semilinear Black and Scholes partial differential equation for valuing American options. Zbl 1064.60080
Benth, Fred E.; Karlsen, Kenneth H.; Reikvam, Kristin
13
2003
Viscosity solutions of optimal stopping problems. Zbl 0913.60037
Øksendal, Bernt; Reikvam, Kristin
12
1998
A connection between singular stochastic control and optimal stopping. Zbl 1056.93070
Benth, Fred Espen; Reikvam, Kristin
7
2004
A semilinear Black and Scholes partial differential equation for valuing American options: approximate solutions and convergence. Zbl 1068.35190
Benth, F. E.; Karlsen, K. H.; Reikvam, K.
5
2004
A note on portfolio management under non-Gaussian logreturns. Zbl 1152.91483
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin
2
2001
On the existence of optimal controls for a singular stochastic control problem in finance. Zbl 0987.91035
Benth, Fred E.; Karlsen, Kenneth H.; Reikvam, Kristin
1
2001
A connection between singular stochastic control and optimal stopping. Zbl 1056.93070
Benth, Fred Espen; Reikvam, Kristin
7
2004
A semilinear Black and Scholes partial differential equation for valuing American options: approximate solutions and convergence. Zbl 1068.35190
Benth, F. E.; Karlsen, K. H.; Reikvam, K.
5
2004
Merton’s portfolio optimization problem in a Black and Scholes market with non-Gaussian stochastic volatility of Ornstein-Uhlenbeck type. Zbl 1049.91060
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin
24
2003
A semilinear Black and Scholes partial differential equation for valuing American options. Zbl 1064.60080
Benth, Fred E.; Karlsen, Kenneth H.; Reikvam, Kristin
13
2003
Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs. Zbl 1035.91027
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin
18
2002
Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach. Zbl 0978.91039
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin
38
2001
Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution. Zbl 1049.91059
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin
18
2001
A note on portfolio management under non-Gaussian logreturns. Zbl 1152.91483
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin
2
2001
On the existence of optimal controls for a singular stochastic control problem in finance. Zbl 0987.91035
Benth, Fred E.; Karlsen, Kenneth H.; Reikvam, Kristin
1
2001
Viscosity solutions of optimal stopping problems. Zbl 0913.60037
Øksendal, Bernt; Reikvam, Kristin
12
1998
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Cited by 170 Authors

6 Karlsen, Kenneth Hvistendahl
5 Jakobsen, Espen Robstad
3 Azcue, Pablo
3 Benth, Fred Espen
3 De Angelis, Tiziano
3 Kallsen, Jan
3 Lindberg, Carl
3 Muhle-Karbe, Johannes
3 Muler, Nora E.
2 Albrecher, Hansjörg
2 Bai, Lihua
2 Bennett, Jonathan
2 Bian, Baojun
2 Biswas, Imran H.
2 Bo, Lijun
2 Dai, Wanyang
2 Ferrari, Giorgio
2 Imbert, Cyril
2 Øksendal, Bernt Karsten
2 Reikvam, Kristin
2 Roch, Alexandre F.
2 Temme, Johannes P.
2 Wang, Rongming
2 Wang, Song
2 Wang, Yang
2 Wei, Jiaqin
2 Wu, Jianglun
2 Xu, Lin
2 Yang, Hailiang
2 Yao, Dingjun
2 Zhang, Jizhou
2 Zhang, Kai
1 Abatangelo, Nicola
1 Amaro de Matos, João
1 Angermann, Lutz
1 Avram, Florin
1 Balachandran, Krishnan
1 Bank, Peter
1 Barbu, Viorel
1 Bardi, Martino
1 Bäuerle, Nicole
1 Beiglböck, Mathias
1 Bernal, Francisco
1 Bouchard, Bruno
1 Budhiraja, Amarjit S.
1 Çanakoğlu, Ethem
1 Cesaroni, Annalisa
1 Chau, Ki Wai
1 Chen, Linghua
1 Coclite, Giuseppe Maria
1 Cozzi, Matteo
1 Dayanik, Savas
1 De Vallière, Dimitri
1 Delong, Łukasz
1 Di Nunno, Giulia
1 dos Reis, Gonçalo
1 Droniou, Jérôme
1 Edalati, Alireza
1 Eisenberg, Julia
1 Ekström, Erik
1 Elie, Romuald
1 Emms, Paul
1 Felmer, Patricio L.
1 Framstad, Nils Chr.
1 Fujii, Masaaki
1 Gapeev, Pavel V.
1 Ge, Lei
1 Goll, Thomas
1 Guambe, Calisto
1 Guerra, Manuel
1 Guo, Junyi
1 Hata, Hiroaki
1 Hipp, Christian
1 Holden, Helge
1 Holden, Lars
1 Houede, Dofyniwassouani Alain
1 Hubalek, Friedrich
1 Ibrango, Idrissa
1 Ishii, Hitoshi
1 Junca, Mauricio
1 Kabanov, Yuriĭ Mikhaĭlovich
1 Karatzas, Ioannis
1 Kazmi, Kamran
1 Ke, T. Tony
1 Khaliq, Abdul Q. M.
1 Klimsiak, Tomasz
1 Klüppelberg, Claudia
1 Kratz, Peter
1 Kufakunesu, Rodwell
1 La Chioma, Claudia
1 Lépinette, Emmanuel
1 Lerche, Hans Rudolf
1 Lewicka, Marta
1 Liang, Zongxia
1 Lim, Byung Hwa
1 Luo, Qingli
1 Ma, Jin
1 Ma, Ming
1 Manai, Arij
1 Manfredi, Juan J.
...and 70 more Authors
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Cited in 59 Serials

11 The Annals of Applied Probability
8 Stochastics
5 Mathematical Finance
4 Journal of Optimization Theory and Applications
4 Stochastic Processes and their Applications
3 Insurance Mathematics & Economics
3 Mathematics and Financial Economics
2 Applied Mathematics and Optimization
2 Journal of Computational and Applied Mathematics
2 Journal of Differential Equations
2 Numerische Mathematik
2 SIAM Journal on Control and Optimization
2 Stochastic Analysis and Applications
2 Journal of Economic Dynamics & Control
2 European Journal of Operational Research
2 International Journal of Computer Mathematics
2 Discrete and Continuous Dynamical Systems
2 Mathematical Problems in Engineering
2 Finance and Stochastics
2 International Journal of Theoretical and Applied Finance
2 Nonlinear Analysis. Real World Applications
2 Asia-Pacific Financial Markets
2 Journal of Hyperbolic Differential Equations
2 Frontiers of Mathematics in China
2 SIAM Journal on Financial Mathematics
1 Advances in Applied Probability
1 Archive for Rational Mechanics and Analysis
1 Computers & Mathematics with Applications
1 Journal of Mathematical Analysis and Applications
1 Applied Mathematics and Computation
1 Automatica
1 Journal of Economic Theory
1 Journal of Mathematical Economics
1 Mathematics and Computers in Simulation
1 Mathematics of Operations Research
1 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
1 Optimal Control Applications & Methods
1 Operations Research Letters
1 Annales de l’Institut Henri Poincaré. Analyse Non Linéaire
1 Acta Mathematicae Applicatae Sinica. English Series
1 Probability Theory and Related Fields
1 Applied Mathematics Letters
1 European Journal of Applied Mathematics
1 SIAM Journal on Mathematical Analysis
1 Potential Analysis
1 NoDEA. Nonlinear Differential Equations and Applications
1 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
1 Mathematical Methods of Operations Research
1 Journal of Shanghai University
1 Applied Stochastic Models in Business and Industry
1 Scandinavian Actuarial Journal
1 OR Spectrum
1 ASTIN Bulletin
1 Mediterranean Journal of Mathematics
1 Advances in Difference Equations
1 Journal of Industrial and Management Optimization
1 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik)
1 Journal of Probability and Statistics
1 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys

Citations by Year