Rolón Gutiérrez, Esteban J.; Nguyen, Son Luu; Yin, George Markovian-switching systems: backward and forward-backward stochastic differential equations, mean-field interactions, and nonzero-sum differential games. (English) Zbl 07801983 Appl. Math. Optim. 89, No. 2, Paper No. 33, 47 p. (2024). MSC: 60J25 60J27 60J60 93E20 PDFBibTeX XMLCite \textit{E. J. Rolón Gutiérrez} et al., Appl. Math. Optim. 89, No. 2, Paper No. 33, 47 p. (2024; Zbl 07801983) Full Text: DOI
Wu, Zhen; Zhang, Yan Maximum principle for conditional mean-field FBSDEs systems with regime-switching involving impulse controls. (English) Zbl 07762453 J. Math. Anal. Appl. 530, No. 2, Article ID 127720, 25 p. (2024). MSC: 93E20 93C27 60H30 91G10 PDFBibTeX XMLCite \textit{Z. Wu} and \textit{Y. Zhang}, J. Math. Anal. Appl. 530, No. 2, Article ID 127720, 25 p. (2024; Zbl 07762453) Full Text: DOI
Tamer, Lazhar; Abdallah, Hani Ben Partial information maximum principle for optimal control problem with regime switching in the conditional mean-field model. (English) Zbl 1520.93616 Random Oper. Stoch. Equ. 31, No. 2, 103-115 (2023). MSC: 93E20 60H30 PDFBibTeX XMLCite \textit{L. Tamer} and \textit{H. B. Abdallah}, Random Oper. Stoch. Equ. 31, No. 2, 103--115 (2023; Zbl 1520.93616) Full Text: DOI
Alia, Ishak; Alia, Mohamed Sofiane Open-loop equilibrium strategy for mean-variance portfolio selection with investment constraints in a non-Markovian regime-switching jump-diffusion model. (English) Zbl 1524.91098 J. Ind. Manag. Optim. 19, No. 4, 2396-2435 (2023). MSC: 91G10 93E20 60H30 PDFBibTeX XMLCite \textit{I. Alia} and \textit{M. S. Alia}, J. Ind. Manag. Optim. 19, No. 4, 2396--2435 (2023; Zbl 1524.91098) Full Text: DOI
Song, Yuanzhuo; Wu, Zhen A general maximum principle for progressive optimal stochastic control problems with Markov regime-switching. (English) Zbl 1503.93051 ESAIM, Control Optim. Calc. Var. 28, Paper No. 61, 19 p. (2022). MSC: 93E20 60J20 PDFBibTeX XMLCite \textit{Y. Song} and \textit{Z. Wu}, ESAIM, Control Optim. Calc. Var. 28, Paper No. 61, 19 p. (2022; Zbl 1503.93051) Full Text: DOI
Chen, Tian; Song, Yuanzhuo; Wu, Zhen The maximum principle for stochastic control problem with Markov chain in progressive structure. (English) Zbl 1498.93773 Syst. Control Lett. 166, Article ID 105303, 7 p. (2022). MSC: 93E20 60J20 60J70 PDFBibTeX XMLCite \textit{T. Chen} et al., Syst. Control Lett. 166, Article ID 105303, 7 p. (2022; Zbl 1498.93773) Full Text: DOI
Shyamalkumar, Nariankadu D.; Tao, Siyang \(t\)-copula from the viewpoint of tail dependence matrices. (English) Zbl 1493.62361 J. Multivariate Anal. 191, Article ID 105027, 22 p. (2022). MSC: 62H20 60G70 52B05 60-08 05-04 PDFBibTeX XMLCite \textit{N. D. Shyamalkumar} and \textit{S. Tao}, J. Multivariate Anal. 191, Article ID 105027, 22 p. (2022; Zbl 1493.62361) Full Text: DOI
Nguyen, Son L.; Yin, George; Nguyen, Dung T. A general stochastic maximum principle for mean-field controls with regime switching. (English) Zbl 1475.60140 Appl. Math. Optim. 84, No. 3, 3255-3294 (2021). MSC: 60J25 60J27 60J60 93E20 37N35 37N40 PDFBibTeX XMLCite \textit{S. L. Nguyen} et al., Appl. Math. Optim. 84, No. 3, 3255--3294 (2021; Zbl 1475.60140) Full Text: DOI
Mei, Hongwei; Yong, Jiongmin Equilibrium strategies for time-inconsistent stochastic switching systems. (English) Zbl 1441.93346 ESAIM, Control Optim. Calc. Var. 25, Paper No. 64, 60 p. (2019). MSC: 93E20 93C30 93C15 60H10 PDFBibTeX XMLCite \textit{H. Mei} and \textit{J. Yong}, ESAIM, Control Optim. Calc. Var. 25, Paper No. 64, 60 p. (2019; Zbl 1441.93346) Full Text: DOI arXiv
Côté, Marie-Pier; Genest, Christian Dependence in a background risk model. (English) Zbl 1419.62295 J. Multivariate Anal. 172, 28-46 (2019). MSC: 62P05 62H05 62H20 91B30 60E05 PDFBibTeX XMLCite \textit{M.-P. Côté} and \textit{C. Genest}, J. Multivariate Anal. 172, 28--46 (2019; Zbl 1419.62295) Full Text: DOI
Tang, Qihe; Yuan, Zhongyi CAT bond pricing under a product probability measure with pot risk characterization. (English) Zbl 1410.91288 ASTIN Bull. 49, No. 2, 457-490 (2019). MSC: 91B30 91G20 60G70 PDFBibTeX XMLCite \textit{Q. Tang} and \textit{Z. Yuan}, ASTIN Bull. 49, No. 2, 457--490 (2019; Zbl 1410.91288) Full Text: DOI
Sun, Zhongyang; Kemajou-Brown, Isabelle; Menoukeu-Pamen, Olivier A risk-sensitive maximum principle for a Markov regime-switching jump-diffusion system and applications. (English) Zbl 1405.93234 ESAIM, Control Optim. Calc. Var. 24, No. 3, 985-1013 (2018). MSC: 93E20 49K45 91G80 49N10 60J75 PDFBibTeX XMLCite \textit{Z. Sun} et al., ESAIM, Control Optim. Calc. Var. 24, No. 3, 985--1013 (2018; Zbl 1405.93234) Full Text: DOI Link
Lv, Siyu; Wu, Zhen Stochastic maximum principle for forward-backward regime switching jump diffusion systems and applications to finance. (English) Zbl 1401.93226 Chin. Ann. Math., Ser. B 39, No. 5, 773-790 (2018). MSC: 93E20 60H10 91G80 90C39 60J75 PDFBibTeX XMLCite \textit{S. Lv} and \textit{Z. Wu}, Chin. Ann. Math., Ser. B 39, No. 5, 773--790 (2018; Zbl 1401.93226) Full Text: DOI
Sun, Zhongyang; Guo, Junyi; Zhang, Xin Maximum principle for Markov regime-switching forward-backward stochastic control system with jumps and relation to dynamic programming. (English) Zbl 1408.91243 J. Optim. Theory Appl. 176, No. 2, 319-350 (2018). MSC: 91G80 93E20 90C39 60J28 91G10 60H15 PDFBibTeX XMLCite \textit{Z. Sun} et al., J. Optim. Theory Appl. 176, No. 2, 319--350 (2018; Zbl 1408.91243) Full Text: DOI
Pamen, Olivier Menoukeu Maximum principles of Markov regime-switching forward-backward stochastic differential equations with jumps and partial information. (English) Zbl 1376.93117 J. Optim. Theory Appl. 175, No. 2, 373-410 (2017). MSC: 93E20 49K45 91G80 91G10 60G51 60H10 91B30 PDFBibTeX XMLCite \textit{O. M. Pamen}, J. Optim. Theory Appl. 175, No. 2, 373--410 (2017; Zbl 1376.93117) Full Text: DOI arXiv
Shi, Xiaojun; Tang, Qihe; Yuan, Zhongyi A limit distribution of credit portfolio losses with low default probabilities. (English) Zbl 1416.91393 Insur. Math. Econ. 73, 156-167 (2017). MSC: 91G40 91B30 60G70 62P05 PDFBibTeX XMLCite \textit{X. Shi} et al., Insur. Math. Econ. 73, 156--167 (2017; Zbl 1416.91393) Full Text: DOI
Becherer, Dirk; Kentia, Klebert Hedging under generalized good-deal bounds and model uncertainty. (English) Zbl 1411.91480 Math. Methods Oper. Res. 86, No. 1, 171-214 (2017). MSC: 91G10 60H10 60G48 PDFBibTeX XMLCite \textit{D. Becherer} and \textit{K. Kentia}, Math. Methods Oper. Res. 86, No. 1, 171--214 (2017; Zbl 1411.91480) Full Text: DOI arXiv
Menoukeu-Pamen, Olivier; Momeya, Romuald Hervé A maximum principle for Markov regime-switching forward-backward stochastic differential games and applications. (English) Zbl 1377.93178 Math. Methods Oper. Res. 85, No. 3, 349-388 (2017). MSC: 93E20 49K45 91G80 91G10 60G51 60H10 60J75 91B30 PDFBibTeX XMLCite \textit{O. Menoukeu-Pamen} and \textit{R. H. Momeya}, Math. Methods Oper. Res. 85, No. 3, 349--388 (2017; Zbl 1377.93178) Full Text: DOI arXiv
Kemajou-Brown, Isabelle Brief history of optimal control theory and some recent developments. (English) Zbl 1419.49001 Budzban, Gregory (ed.) et al., Probability on algebraic and geometric structures. International research conference in honor of Philip Feinsilver, Salah-Eldin A. Mohammed, and Arunava Mukherjea, Southern Illinois University, Carbondale, IL, USA, June 5–7, 2014. Providence, RI: American Mathematical Society (AMS). Contemp. Math. 668, 119-130 (2016). MSC: 49-02 49N90 60J27 62P05 62P20 49K45 49-03 01A45 01A50 01A55 01A60 49L20 91G80 PDFBibTeX XMLCite \textit{I. Kemajou-Brown}, Contemp. Math. 668, 119--130 (2016; Zbl 1419.49001) Full Text: DOI
Das, Bikramjit; Ghosh, Souvik Detecting tail behavior: mean excess plots with confidence bounds. (English) Zbl 1338.62149 Extremes 19, No. 2, 325-349 (2016). MSC: 62G32 62A09 60G70 62G10 62G15 60F05 PDFBibTeX XMLCite \textit{B. Das} and \textit{S. Ghosh}, Extremes 19, No. 2, 325--349 (2016; Zbl 1338.62149) Full Text: DOI arXiv
Lv, Siyu; Tao, Ran; Wu, Zhen Maximum principle for optimal control of anticipated forward-backward stochastic differential delayed systems with regime switching. (English) Zbl 1333.93261 Optim. Control Appl. Methods 37, No. 1, 154-175 (2016). MSC: 93E20 49K45 60H10 PDFBibTeX XMLCite \textit{S. Lv} et al., Optim. Control Appl. Methods 37, No. 1, 154--175 (2016; Zbl 1333.93261) Full Text: DOI
Menoukeu Pamen, Olivier Optimal control for stochastic delay systems under model uncertainty: a stochastic differential game approach. (English) Zbl 1381.49041 J. Optim. Theory Appl. 167, No. 3, 998-1031 (2015). Reviewer: Vivek S. Borkar (Mumbai) MSC: 49N70 91A15 91A23 93E20 60H10 60H30 91G80 60G30 PDFBibTeX XMLCite \textit{O. Menoukeu Pamen}, J. Optim. Theory Appl. 167, No. 3, 998--1031 (2015; Zbl 1381.49041) Full Text: DOI
Shi, Jingtao; Xu, Juanjuan; Zhang, Huanshui Stochastic recursive optimal control problem with time delay and applications. (English) Zbl 1332.93383 Math. Control Relat. Fields 5, No. 4, 859-888 (2015). MSC: 93E20 60H10 34K50 91G80 PDFBibTeX XMLCite \textit{J. Shi} et al., Math. Control Relat. Fields 5, No. 4, 859--888 (2015; Zbl 1332.93383) Full Text: DOI arXiv
Jaworski, Piotr Univariate conditioning of vine copulas. (English) Zbl 1321.62055 J. Multivariate Anal. 138, 89-103 (2015). MSC: 62H05 62G32 62E20 60G70 PDFBibTeX XMLCite \textit{P. Jaworski}, J. Multivariate Anal. 138, 89--103 (2015; Zbl 1321.62055) Full Text: DOI
Delong, Łukasz; Pelsser, Antoon Instantaneous mean-variance hedging and Sharpe ratio pricing in a regime-switching financial model. (English) Zbl 1345.60062 Stoch. Models 31, No. 1, 67-97 (2015). MSC: 60H30 60H10 49J55 49N90 93E20 91G80 PDFBibTeX XMLCite \textit{Ł. Delong} and \textit{A. Pelsser}, Stoch. Models 31, No. 1, 67--97 (2015; Zbl 1345.60062) Full Text: DOI
Bae, Taehan; Iscoe, Ian Sum of Bernoulli mixtures: beyond conditional independence. (English) Zbl 1307.62155 J. Probab. Stat. 2014, Article ID 838625, 14 p. (2014). MSC: 62H20 60G50 62P05 91G40 PDFBibTeX XMLCite \textit{T. Bae} and \textit{I. Iscoe}, J. Probab. Stat. 2014, Article ID 838625, 14 p. (2014; Zbl 1307.62155) Full Text: DOI
Deshpande, Amogh Sufficient stochastic maximum principle for the optimal control of semi-Markov modulated jump-diffusion with application to financial optimization. (English) Zbl 1302.93237 Stochastic Anal. Appl. 32, No. 6, 911-933 (2014). MSC: 93E20 60J75 60H30 46N10 90C39 91G10 49N10 PDFBibTeX XMLCite \textit{A. Deshpande}, Stochastic Anal. Appl. 32, No. 6, 911--933 (2014; Zbl 1302.93237) Full Text: DOI arXiv
Balkema, A. A.; Embrechts, P.; Nolde, N. Meta densities and the shape of their sample clouds. (English) Zbl 1198.60012 J. Multivariate Anal. 101, No. 7, 1738-1754 (2010). Reviewer: Michael Falk (Würzburg) MSC: 60E05 60G70 60D05 PDFBibTeX XMLCite \textit{A. A. Balkema} et al., J. Multivariate Anal. 101, No. 7, 1738--1754 (2010; Zbl 1198.60012) Full Text: DOI