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Stochastic processes, finance and control. A Festschrift in honor of Robert J. Elliott. (English) Zbl 1253.00011

Advances in Statistics, Probability and Actuarial Science 1. Hackensack, NJ: World Scientific (ISBN 978-981-4383-30-1/hbk). xv, 588 p. (2012).

Show indexed articles as search result.

The articles of this volume will be reviewed individually.
Indexed articles:
Bender, Christian; Parczewski, Peter, On the connection between discrete and continuous Wick calculus with an application to the fractional Black-Scholes model, 3-40 [Zbl 1285.60048]
Ewald, Christian-Oliver; Xiao, Yajun; Zou, Yang; Siu, Tak Kuen, Malliavin differentiability of a class of Feller-diffusions with relevance in finance, 41-51 [Zbl 1277.60100]
Kuo, Hui-Hsiung; Sae-Tang, Anuwat; Szozda, Benedykt, A stochastic integral for adapted and instantly independent stochastic processes, 53-71 [Zbl 1282.60055]
Privault, Nicolas, Independence of some multiple Poisson stochastic integrals with variable-sign kernels, 73-86 [Zbl 1278.60087]
Fleming, Wendell H.; Hernández-Hernández, Daniel, Strategies for differential games, 89-104 [Zbl 1277.91016]
Karatzas, Ioannis; Li, Qinghua, BSDE approach to non-zero-sum stochastic differential games of control and stopping, 105-153 [Zbl 1310.91026]
Albrecher, Hansjörg; Thonhauser, Stefan, On optimal dividend strategies in insurance with an random time horizon, 157-179 [Zbl 1287.91088]
Bielecki, Tomasz R.; Cialenco, Igor; Iyigunler, Ismail, Counterparty risk and the impact of collateralization in CDS contracts, 181-215 [Zbl 1277.91163]
Cheang, Gerald H. L.; Chiarella, Carl, A modern view on Merton’s jump-diffusion model, 217-234 [Zbl 1277.91165]
Cousin, Areski; Jeanblanc, Monique, Hedging portfolio loss derivatives with CDS’s, 235-257 [Zbl 1308.91138]
van der Hoek, John; Korolkiewicz, Małgorzata W., New analytic approximations for pricing spread options, 259-284 [Zbl 1277.91177]
Li, Hao; Melnikov, Alexander, On the polynomial-normal model and option pricing, 285-302 [Zbl 1277.91172]
Luo, Shunlong; Yan, Jia-an; Zhang, Qiang, A functional transformation approach to interest rate modelling, 303-315 [Zbl 1292.91180]
Madan, Dilip B., S&P 500 index option surface drivers and their risk neutral and real world quadratic covariations, 317-345 [Zbl 1277.91201]
Platen, Eckhard; Semmler, Willi, A dynamic portfolio approach to asset markets and monetary policy, 347-373 [Zbl 1308.91147]
Yin, G.; Talafha, Y., Mean-variance portfolio selection under regime-switching diffusion asset models: a two-time-scale limit, 375-390 [Zbl 1277.91161]
Bensoussan, Alain; Çakanyıldırım, Metin; Li, Meng; Sethi, Suresh P., Existence and uniqueness of solutions for a partially observed stochastic control problem, 393-413 [Zbl 1283.93307]
Costa, O. L. V.; Dufour, F., Continuous control of piecewise deterministic Markov processes with long run average cost, 415-449 [Zbl 1283.93310]
Duncan, Tyrone E., Stochastic linear-quadratic control revisited, 451-463 [Zbl 1283.93311]
Rezaei, Farzad; Charalambous, Charalambos D.; Ahmed, N. U., Optimization of stochastic uncertain systems: entropy rate functionals, minimax games and robustness, 465-502 [Zbl 1283.90045]
Krishnamurthy, Vikram; Vázquez Abad, Felisa J., Gradient based policy optimization of constrained Markov decision processes, 503-547 [Zbl 1294.90068]
Xi, Xiaojing; Rodrigo, Marianito R.; Mamon, Rogemar S., Parameter estimation of a regime-switching model using an inverse Stieltjes moment approach, 549-569 [Zbl 06174825]
Zhang, Hanqin; Zhang, Qing, An optimal inventory-price coordination policy, 571-585 [Zbl 1273.90019]

MSC:

00B15 Collections of articles of miscellaneous specific interest
00B30 Festschriften
60-06 Proceedings, conferences, collections, etc. pertaining to probability theory
91-06 Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance
93-06 Proceedings, conferences, collections, etc. pertaining to systems and control theory
60Hxx Stochastic analysis
91Axx Game theory
91Gxx Actuarial science and mathematical finance
93Exx Stochastic systems and control

Biographic References:

Elliott, Robert J.
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