Branger, Nicole; Muck, Matthias; Seifried, Frank Thomas; Weisheit, Stefan Optimal portfolios when variances and covariances can jump. (English) Zbl 1401.91511 J. Econ. Dyn. Control 85, 59-89 (2017). MSC: 91G10 60G44 PDFBibTeX XMLCite \textit{N. Branger} et al., J. Econ. Dyn. Control 85, 59--89 (2017; Zbl 1401.91511) Full Text: DOI
Korn, Ralf; Melnyk, Yaroslav; Seifried, Frank Thomas Stochastic impulse control with regime-switching dynamics. (English) Zbl 1403.49018 Eur. J. Oper. Res. 260, No. 3, 1024-1042 (2017). MSC: 49K45 90B60 93E03 93E20 PDFBibTeX XMLCite \textit{R. Korn} et al., Eur. J. Oper. Res. 260, No. 3, 1024--1042 (2017; Zbl 1403.49018) Full Text: DOI
Busch, Michael; Korn, Ralf; Seifried, Frank Thomas Optimal consumption and investment for a large investor: an intensity-based control framework. (English) Zbl 1277.91202 Math. Finance 23, No. 4, 687-717 (2013). MSC: 91G80 93E20 91G10 PDFBibTeX XMLCite \textit{M. Busch} et al., Math. Finance 23, No. 4, 687--717 (2013; Zbl 1277.91202) Full Text: DOI