Risk Sensitive Investment Management with Affine Processes: a Viscosity Approach
暂无分享,去创建一个
[1] E. Thorp,et al. The Kelly Capital Growth Investment Criterion: Theory and Practice , 2011 .
[2] Mark H. A. Davis,et al. Jump-Diffusion Risk-Sensitive Asset Management , 2009, 0905.4740.
[3] Mark H. A. Davis,et al. Risk-sensitive benchmarked asset management , 2008 .
[4] G. Barles,et al. Second-order elliptic integro-differential equations: viscosity solutions' theory revisited , 2007, math/0702263.
[5] E. Jakobsen,et al. A “maximum principle for semicontinuous functions” applicable to integro-partial differential equations , 2006 .
[6] Tomasz R. Bielecki,et al. Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation , 2005, SIAM J. Control. Optim..
[7] Georges Dionne,et al. Credit Risk: Pricing, Measurement, and Management , 2005 .
[8] K. Karlsen,et al. Non-linear degenerate integro-partial differential evolution equations related to geometric Lévy processes and applications to backward stochastic differential equations , 2004 .
[9] Tomasz R. Bielecki,et al. Economic Properties of the Risk Sensitive Criterion for Portfolio Management , 2003 .
[10] Anna Lisa Amadori,et al. Nonlinear integro-differential evolution problems arising in option pricing: a viscosity solutions approach , 2003, Differential and Integral Equations.
[11] D. Duffie,et al. Affine Processes and Application in Finance , 2002 .
[12] H. Nagai,et al. Risk-sensitive portfolio optimization on infinite time horizon , 2002 .
[13] Daniel Hernández-Hernández,et al. Risk Sensitive Asset Management With Constrained Trading Strategies , 2001 .
[14] Recent Developments in Mathematical Finance , 2001 .
[15] Darrel,et al. PDE solutions of stochastic differential utility * , 2001 .
[16] Tomasz R. Bielecki,et al. Risk sensitive asset management with transaction costs , 2000, Finance Stochastics.
[17] A. Amadori,et al. The obstacle problem for nonlinear integro-differential operators arising in option pricing , 2003 .
[18] S. Pliska,et al. Risk-Sensitive Dynamic Asset Management , 1999 .
[19] Huy En Pham. Optimal Stopping of Controlled Jump Diiusion Processes: a Viscosity Solution Approach , 1998 .
[20] G. Barles,et al. Backward stochastic differential equations and integral-partial differential equations , 1997 .
[21] Olivier Alvarez,et al. Viscosity solutions of nonlinear integro-differential equations , 1996 .
[22] Wendell H. Fleming. Optimal investment models and risk sensitive stochastic control , 1995 .
[23] M. James. Controlled markov processes and viscosity solutions , 1994 .
[24] Mario Lefebvre,et al. Risk-sensitive optimal investment policy , 1994 .
[25] P. Lions,et al. User’s guide to viscosity solutions of second order partial differential equations , 1992, math/9207212.
[26] P. Lions,et al. PDE solutions of stochastic differential utility , 1992 .
[27] G. Barles,et al. Convergence of approximation schemes for fully nonlinear second order equations , 1990, 29th IEEE Conference on Decision and Control.
[28] P. Whittle. Risk-Sensitive Optimal Control , 1990 .
[29] A. Bensoussan,et al. Optimal control of partially observable stochastic systems with an exponential-of-integral performance index , 1985 .
[30] L. Rogers. Stochastic differential equations and diffusion processes: Nobuyuki Ikeda and Shinzo Watanabe North-Holland, Amsterdam, 1981, xiv + 464 pages, Dfl.175.00 , 1982 .
[31] 池田 信行,et al. Stochastic differential equations and diffusion processes , 1981 .
[32] Rhodes,et al. Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games , 1973 .
[33] F. Black. Capital Market Equilibrium with Restricted Borrowing , 1972 .