Keywords: primary 93C30; 93E20; secondary 37N40; 49L20; Portfolio optimization; Utility maximization; Regime-switching; Laplace transform; Viscosity solutions;
مقالات ISI (ترجمه نشده)
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Keywords: 60G40; 91B70; 93E20; 35R35; Consumption-investment problem; Free boundaries; Constraints on consumption rate; Optimal strategies;
Keywords: C61; G22; primary; 93E20; secondary; 49L20; 91B30; Negative interest rate; Capital injections; Markov-switching; Optimal stochastic control; Hamilton-Jacobi-Bellman equation;
Keywords: primary; 93E20; secondary; 35Q93; 91G80; Stochastic optimal control; Portfolio liquidation; Singular terminal value;
Keywords: primary; 35R60; 93E20; Risk-sensitive control; Multiplicative Poisson equation; Controlled diffusions; Nonlinear eigenvalue problems; Hamilton-Jacobi-Bellman equation; Monotonicity of principal eigenvalue;
Keywords: primary; 93E20; secondary; 60J25; 91B30; Optimal reinsurance treaties; Enlargement of reinsurance space; Variance premium principles; Multiple reinsurers; Lagrangian function;
Keywords: Infinite horizon; Backward stochastic differential delay equation; Mean-field model; Stochastic maximum principle; Partial information; 93EXX; 93E20; 34K50; 60H10; 93E11;
Keywords: 35B27; 35F21; 49L25; 93E20; 78A48; 60K35; Stochastic homogenization; Unbounded Hamilton-Jacobi equation; Viscosity solutions; Finite range of dependence; First passage in percolation; Front propagation;
Keywords: primary; 93E20; secondary; 49J53; 60H07; 60H10; Stochastic optimal control; Malliavin calculus; Necessary conditions; Adjacent cone; Variational equation; Adjoint equation;
Keywords: 91B16; 91G20; 93E20; 60J75(Re-)Insurance; Catastrophe derivatives; Jump process; Random thinning; Utility indifference price
Keywords: Maximum principle; Risk-sensitive optimal control; Partial information; Girsanov׳s theorem; Spike variational technique; MSC:; 60H10; 49N10; 93E10; 93E20;
Keywords: 93E20; 60H30; 93E99; 60H10; Time inconsistency; Mean-variance criterion; Investment-reinsurance strategy; Insurer; Equilibrium strategy; Forward-backward stochastic differential equation;
Keywords: 93E20; 60H30Inventory control; Running maximum; Ergodic control; Constrained minimization; Regime-switching diffusions
Keywords: G11; G22; G32; C61; 91G10; 91B16; 93E20; 91B30; IE13; IE12; IE43; IB81; IB52; IE53; Assets liabilities management (ALM); Optimal dynamic asset allocation; Mortality risk; Salary risk; Incomplete market; Stochastic dynamic programming; Martingale method;
Keywords: 91G10; 93E20; 91A10; 60H20; Time inconsistency; Mean-variance; Partial information; Equilibrium strategy; Extended HJB system of equations;
Keywords: G11; C61; G32; 91B30; 91B70; 91B16; 91G10; 93E20; IE13; IE12; IM52; IB91; IE53; IE43; Equilibrium control law; Time-consistent strategy; Investment-reinsurance; Partial information; Mean-variance criterion; Regime switching;
Keywords: Interception; Zero-effort miss distance; Miss distance distribution; Estimator error; Shaping filter; 93E20;
Keywords: 91b30; 93E20; 90C39Dividend; Equity issuance; Excess-of-loss reinsurance; Optimal strategy; HJB equation
Keywords: G11; C61; G32; 91B30; 91B70; 91B16; 91G10; 93E20; IE13; IE12; IM52; IB91; IE53; IE43; Optimal proportional reinsurance strategy; Optimal investment strategy; CRRA utility; Stochastic dynamic programming; Stochastic inflation index; Stochastic interest rat
Keywords: 93E20; 91B30; Markov-modulated compound Poisson process; Proportional reinsurance; Optimal investment;
Keywords: C44; C61; G24; G32; G35; 60G51; 93E20; Dual model; Dividends; Impulse control; Spectrally positive Lévy processes; Scale functions;
Keywords: G32; G22; G11; C61; primary; 91B30; 93E20; secondary; 65K10; 90C39; 90C15; Optimal impulse control; Optimal dividend and reinvestment; Non-uniformly elliptic equation; Viscosity solution; Fixed and proportional transaction costs; Proportional reinsurance;
Keywords: 93E20; 49L20; 91G10Stochastic optimal control; Jump–diffusion; Markov-switching; Optimal consumption–investment
Keywords: 91G80; 97M30; 93E20; 60H30; Investment; Consumption; Reinsurance; Model uncertainty; Stochastic maximum principle; Malliavin calculus;
Keywords: 93E20; 60G40; 35R35; 91A15; 91B70Partially reversible investment; Singular stochastic control; Zero-sum optimal stopping games; Free-boundary problems; Skorokhod reflection problem
Keywords: 60H10; 60H15; 93E20; Stochastic evolution equation; Backward stochastic evolution equation; Optimal control; Sufficient conditions for optimality;
Keywords: C61; G22; 91B30; 93E20; Dividend; Proportional reinsurance; Non-cheap reinsurance; Cheap reinsurance; Exponential premium principle;
Keywords: 93E20; 60H10; 60H30Stochastic systems with jumps; Mean-field control problem; Stochastic maximum principle; Optimal control
Keywords: primary; 65C05; secondary; 93E20; Jittered Sampling; Calculus of variations; Numerical integration; Quasirandom point sets;
Keywords: C44; C61; G24; G32; G35; 60G51; 93E20; 91B30; Dividends; Capital injection; Lévy processes; Scale functions; Dual model;
Keywords: 60H10; 93E20; 91G80Backward stochastic differential equations; Singular terminal condition; Stochastic control with constraints
Optimal switching problem and related system of BSDEs with left-Lipschitz coefficients and mixed reflections
Keywords: 60G40; 93E20; 62P20; 91B99; Real options; Switching problem; Reflected BSDEs; Oblique reflection; Normal reflection; Optimal stopping problem;
Convergence of a flux-splitting finite volume scheme for conservation laws driven by Lévy noise
Keywords: Conservation laws; Lévy noise; Stochastic entropy solution; Young measures; Kruzkov's entropy; Finite volume scheme; 45K05; 46S50; 49L20; 49L25; 91A23; 93E20;
Aleksandrov-Bakelman-Pucci maximum principles for a class of uniformly elliptic and parabolic integro-PDE
Keywords: 35R09; 35B50; 35D35; 45K05; 93E20; Integro-PDE; Aleksandrov-Bakelman-Pucci maximum principle;
Itô's calculus under sublinear expectations via regularity of PDEs and rough paths
Keywords: 60G44; 60H05; 35K61; 93E20; Fully nonlinear PDEs; Martingale problem; Nonlinear expectation; Stochastic integral; Itô's formula; Rough path theory;
Stochastic accessibility on Grushin-type manifolds
Keywords: 93E20; 49J15; 60H10; Stochastic controllability; Grushin-type manifold; Wiener process;
Parisian quasi-stationary distributions for asymmetric Lévy processes
Keywords: 60J99; 93E20; 60G51; Quasi-stationary distribution; Lévy process; Risk process; Ruin probability; Asymptotics; Parisian ruin;
On future drawdowns of Lévy processes
Keywords: 60J99; 93E20; 60G51; Reflected process; Lévy process; Drawdown process; Cramér-asymptotics; Heavy-tailed distributions; Queueing; Workload process;
Dynamic programming principle for stochastic recursive optimal control problem driven by a G-Brownian motion
Keywords: 93E20; 60H10; 35K15; G-expectation; Backward stochastic differential equations; Stochastic recursive optimal control; Robust control; Dynamic programming principle;
Controlled Markov Decision Processes with AVaR criteria for unbounded costs
Keywords: 90C39; 93E20; Markov decision problem; Average-Value-at-Risk; Optimal control;
Stochastic maximum principle for SPDEs with delay
Keywords: 93E20; 60H15; 60H30; Stochastic maximum principle; Stochastic delay differential equation; Anticipated backward stochastic differential equations; Infinite dimensions;
Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes
Keywords: 93E20; 60H10; 60G55; 60J25; Backward stochastic differential equations; Optimal control problems; Pure jump Markov processes; Marked point processes; Randomization;
A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
Keywords: American options; Barrier options; Stochastic volatility; Regime switching; Jump diffusion; Frame projection; 91G80; 93E11; 93E20;
On solutions of mean field games with ergodic cost
Keywords: primary; 91A13; 93E20; secondary; 82B05; N-person games; Nash equilibrium; Ergodic control; Convergence of equilibria; Relative value iteration; Mckean-Vlasov limit;
Optimal management of DC pension plan under loss aversion and Value-at-Risk constraints
Keywords: C61; G11; G32; G02; 91B16; 91B30; 91G10; 93E20; IE12; IE13; IE43; IB81; Defined contribution pension plan; Portfolio choice; Stochastic interest rate; Stochastic contribution rate; Loss aversion; Value-at-Risk; Martingale method;
Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence
Keywords: 91B28; 91B30; 93E20; Mean-variance problem; Common shock dependence; Investment-reinsurance; Hamilton-Jacobi-Bellman equation; No-bankruptcy constraint;
Optimal control of systems with noisy memory and BSDEs with Malliavin derivatives
Keywords: 93EXX; 93E20; 60J75; 60H07; 34K50Stochastic control; Noisy memory; Maximum principle; Malliavin derivative
Continuous dependence estimate for conservation laws with Lévy noise
Keywords: 45K05; 46S50; 49L20; 49L25; 91A23; 93E20; Conservation laws; Stochastic forcing; Lévy noise; Stochastic entropy solution; Stochastic partial differential equations; Kružkov's entropy;
Optimality of doubly reflected Lévy processes in singular control
Keywords: 60G51; 93E20; 49J40Singular control; Doubly reflected Lévy processes; Fluctuation theory; Scale functions
Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
Keywords: C61; G11; G32; 91G30; 91G10; 93E20; 91B16; 90C39; 91B06; IE53; IE13; IB13; IE12; Defined contribution pension plan; CRRA utility; Stochastic dynamic programming; Stochastic interest rate; Stochastic volatility; Stochastic contribution rate; Minimum guaran