Search Results - "stochastic optimal control"

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  1. 1
    A first-order BSPDE for swing option pricing

    A first-order BSPDE for swing option pricing by Bender, C., Dokuchaev, Nikolai

    Published 2014
    Subjects: Get full text
  2. 2
    A First-Order BSPDE for Swing Option Pricing: Classical Solutions

    A First-Order BSPDE for Swing Option Pricing: Classical Solutions by Bender, C., Dokuchaev, Nikolai

    Published 2017
    Subjects: Get full text
  3. 3
    Stochastic optimal controls with delay

    Stochastic optimal controls with delay by Wang, Zimeng

    Published 2017
    Subjects: Get full text
  4. 4
    Conjugate duality in stochastic controls with delay

    Conjugate duality in stochastic controls with delay by Wang, Zimeng, Hodge, David J., Le, Huiling

    Published 2017
    Subjects: “…Anticipated backward stochastic differential equation; Conjugate convex function; Stochastic delay differential equation; Stochastic maximum principle; Stochastic optimal control with delay…”
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  5. 5
    Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework

    Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework by Zhang, Y., Wu, Yong, Wiwatanapataphee, Benchawan, Angkola, Francisca

    Published 2020
    Subjects: Get full text

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