Mousa, A. S.; Pinheiro, D.; Pinheiro, S.; Pinto, A. A. Optimal consumption, investment and life-insurance purchase under a stochastically fluctuating economy. (English) Zbl 07808324 Optimization 73, No. 2, 359-399 (2024). MSC: 91G05 93E20 49L20 PDFBibTeX XMLCite \textit{A. S. Mousa} et al., Optimization 73, No. 2, 359--399 (2024; Zbl 07808324) Full Text: DOI
Lollike, Alexander S.; Steffensen, Mogens Polynomial utility. (English) Zbl 07806898 Int. J. Theor. Appl. Finance 26, No. 6-7, Article ID 2350024, 28 p. (2023). MSC: 91G10 91B16 49L20 41A58 PDFBibTeX XMLCite \textit{A. S. Lollike} and \textit{M. Steffensen}, Int. J. Theor. Appl. Finance 26, No. 6--7, Article ID 2350024, 28 p. (2023; Zbl 07806898) Full Text: DOI
Grandits, Peter Some global topological properties of a free boundary problem appearing in a two dimensional controlled ruin problem. (English) Zbl 1526.93279 Math. Control Signals Syst. 35, No. 4, 927-949 (2023). MSC: 93E20 49J20 35R35 91G05 PDFBibTeX XMLCite \textit{P. Grandits}, Math. Control Signals Syst. 35, No. 4, 927--949 (2023; Zbl 1526.93279) Full Text: DOI OA License
Avanzi, B.; Falden, D. K.; Steffensen, M. Stable dividends under linear-quadratic optimisation. (English) Zbl 1522.91303 Quant. Finance 23, No. 9, 1199-1215 (2023). MSC: 91G50 91B05 49N10 93E20 60G51 PDFBibTeX XMLCite \textit{B. Avanzi} et al., Quant. Finance 23, No. 9, 1199--1215 (2023; Zbl 1522.91303) Full Text: DOI arXiv
Yang, Zhou; Zhang, Jing; Zhou, Chao Robust control problems of BSDEs coupled with value functions. (English) Zbl 1520.91378 SIAM J. Financ. Math. 14, No. 3, 721-750 (2023). MSC: 91G10 60H30 49L20 93E20 PDFBibTeX XMLCite \textit{Z. Yang} et al., SIAM J. Financ. Math. 14, No. 3, 721--750 (2023; Zbl 1520.91378) Full Text: DOI arXiv
Iftimie, Bogdan A robust investment-consumption optimization problem in a switching regime interest rate setting. (English) Zbl 1520.91411 J. Glob. Optim. 86, No. 3, 713-739 (2023). MSC: 91G30 93E20 90C46 90C47 49N15 PDFBibTeX XMLCite \textit{B. Iftimie}, J. Glob. Optim. 86, No. 3, 713--739 (2023; Zbl 1520.91411) Full Text: DOI
Zhou, Xia; Chen, Peimin; Zhang, Jiawei; Tu, Jingwen; He, Yong The optimal investment-reinsurance strategies for ambiguity aversion insurer in uncertain environment. (English) Zbl 1524.91097 J. Ind. Manag. Optim. 19, No. 6, 4551-4590 (2023). MSC: 91G05 91B16 49L12 PDFBibTeX XMLCite \textit{X. Zhou} et al., J. Ind. Manag. Optim. 19, No. 6, 4551--4590 (2023; Zbl 1524.91097) Full Text: DOI
Liu, Jingzhen; Yan, Shiqi; Jiang, Shan; Wei, Jiaqin Optimal investment, consumption and life insurance strategies under stochastic differential utility with habit formation. (English) Zbl 1513.91062 J. Ind. Manag. Optim. 19, No. 3, 2226-2250 (2023). MSC: 91G05 49L20 93E20 PDFBibTeX XMLCite \textit{J. Liu} et al., J. Ind. Manag. Optim. 19, No. 3, 2226--2250 (2023; Zbl 1513.91062) Full Text: DOI
He, Xue Dong; Zhou, Xun Yu Who are I: time inconsistency and intrapersonal conflict and reconciliation. (English) Zbl 1504.91073 Yin, George (ed.) et al., Stochastic analysis, filtering, and stochastic optimization. A commemorative volume to honor Mark H. A. Davis’s contributions. Cham: Springer. 177-208 (2022). MSC: 91B06 93E20 49L12 PDFBibTeX XMLCite \textit{X. D. He} and \textit{X. Y. Zhou}, in: Stochastic analysis, filtering, and stochastic optimization. A commemorative volume to honor Mark H. A. Davis's contributions. Cham: Springer. 177--208 (2022; Zbl 1504.91073) Full Text: DOI arXiv
Albrecher, Hansjörg; Azcue, Pablo; Muler, Nora Optimal ratcheting of dividends in a Brownian risk model. (English) Zbl 1497.91331 SIAM J. Financ. Math. 13, No. 3, 657-701 (2022). MSC: 91G50 49L25 93E20 PDFBibTeX XMLCite \textit{H. Albrecher} et al., SIAM J. Financ. Math. 13, No. 3, 657--701 (2022; Zbl 1497.91331) Full Text: DOI arXiv
Escobar-Anel, Marcos; Kschonnek, Michel; Zagst, Rudi Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation. (English) Zbl 1484.91419 Math. Methods Oper. Res. 95, No. 1, 101-140 (2022). MSC: 91G10 49L20 PDFBibTeX XMLCite \textit{M. Escobar-Anel} et al., Math. Methods Oper. Res. 95, No. 1, 101--140 (2022; Zbl 1484.91419) Full Text: DOI
Delong, Łukasz Asymptotic optimality of a first-order approximate strategy for an exponential utility maximization problem with a small coefficient of wealth-dependent risk aversion. (English) Zbl 1470.91224 Appl. Math. Optim. 84, No. 1, 649-682 (2021). MSC: 91G05 35Q91 49K20 PDFBibTeX XMLCite \textit{Ł. Delong}, Appl. Math. Optim. 84, No. 1, 649--682 (2021; Zbl 1470.91224) Full Text: DOI
Reisinger, Christoph; Zhang, Yufei A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone nonlinearities. (English) Zbl 1524.49050 Comput. Math. Appl. 93, 199-213 (2021). MSC: 49L25 93E20 65M12 65M06 49L20 PDFBibTeX XMLCite \textit{C. Reisinger} and \textit{Y. Zhang}, Comput. Math. Appl. 93, 199--213 (2021; Zbl 1524.49050) Full Text: DOI arXiv
Albrecher, Hansjörg; Azcue, Pablo; Muler, Nora Optimal ratcheting of dividends in insurance. (English) Zbl 1452.91256 SIAM J. Control Optim. 58, No. 4, 1822-1845 (2020). MSC: 91G05 93E20 49L25 PDFBibTeX XMLCite \textit{H. Albrecher} et al., SIAM J. Control Optim. 58, No. 4, 1822--1845 (2020; Zbl 1452.91256) Full Text: DOI arXiv
Kryger, Esben; Nordfang, Maj-Britt; Steffensen, Mogens Optimal control of an objective functional with non-linearity between the conditional expectations: solutions to a class of time-inconsistent portfolio problems. (English) Zbl 1447.49057 Math. Methods Oper. Res. 91, No. 3, 405-438 (2020). MSC: 49N99 91G10 PDFBibTeX XMLCite \textit{E. Kryger} et al., Math. Methods Oper. Res. 91, No. 3, 405--438 (2020; Zbl 1447.49057) Full Text: DOI
Fahrenwaldt, Matthias A.; Sun, Chaofan Expected utility approximation and portfolio optimisation. (English) Zbl 1446.91076 Insur. Math. Econ. 93, 301-314 (2020). MSC: 91G10 91B16 49J55 PDFBibTeX XMLCite \textit{M. A. Fahrenwaldt} and \textit{C. Sun}, Insur. Math. Econ. 93, 301--314 (2020; Zbl 1446.91076) Full Text: DOI
Lindensjö, Kristoffer A regular equilibrium solves the extended HJB system. (English) Zbl 1476.93161 Oper. Res. Lett. 47, No. 5, 427-432 (2019). MSC: 93E20 49L99 60H10 91A25 PDFBibTeX XMLCite \textit{K. Lindensjö}, Oper. Res. Lett. 47, No. 5, 427--432 (2019; Zbl 1476.93161) Full Text: DOI arXiv
Ferreira, M.; Pinheiro, D.; Pinheiro, S. Two-player zero-sum stochastic differential games with random horizon. (English) Zbl 1430.49039 Adv. Appl. Probab. 51, No. 4, 1209-1235 (2019). MSC: 49N70 91A15 49L20 49L25 PDFBibTeX XMLCite \textit{M. Ferreira} et al., Adv. Appl. Probab. 51, No. 4, 1209--1235 (2019; Zbl 1430.49039) Full Text: DOI
Korn, Ralf; Leoff, Elisabeth Multi-asset worst-case optimal portfolios. (English) Zbl 1411.91515 Int. J. Theor. Appl. Finance 22, No. 4, Article ID 1950019, 24 p. (2019). MSC: 91G10 93E20 49L20 PDFBibTeX XMLCite \textit{R. Korn} and \textit{E. Leoff}, Int. J. Theor. Appl. Finance 22, No. 4, Article ID 1950019, 24 p. (2019; Zbl 1411.91515) Full Text: DOI
Bo, Lijun; Capponi, Agostino; Chen, Peng-Chu Credit portfolio selection with decaying contagion intensities. (English) Zbl 1411.91485 Math. Finance 29, No. 1, 137-173 (2019). MSC: 91G10 91G50 35Q91 90C39 49N35 PDFBibTeX XMLCite \textit{L. Bo} et al., Math. Finance 29, No. 1, 137--173 (2019; Zbl 1411.91485) Full Text: DOI
Delong, Łukasz Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient. (English) Zbl 1411.91277 Math. Methods Oper. Res. 89, No. 1, 73-113 (2019). MSC: 91B30 91B16 49N90 PDFBibTeX XMLCite \textit{Ł. Delong}, Math. Methods Oper. Res. 89, No. 1, 73--113 (2019; Zbl 1411.91277) Full Text: DOI
Christiansen, Marcus C.; Steffensen, Mogens Around the life cycle: deterministic consumption-investment strategies. (English) Zbl 1416.91345 N. Am. Actuar. J. 22, No. 3, 491-507 (2018). MSC: 91G10 93E20 49N90 PDFBibTeX XMLCite \textit{M. C. Christiansen} and \textit{M. Steffensen}, N. Am. Actuar. J. 22, No. 3, 491--507 (2018; Zbl 1416.91345) Full Text: DOI
Hata, Hiroaki; Nagai, Hideo; Sheu, Shuenn-Jyi An optimal consumption problem for general factor models. (English) Zbl 1395.91407 SIAM J. Control Optim. 56, No. 5, 3149-3183 (2018). MSC: 91G10 93E20 49L20 60H30 PDFBibTeX XMLCite \textit{H. Hata} et al., SIAM J. Control Optim. 56, No. 5, 3149--3183 (2018; Zbl 1395.91407) Full Text: DOI
Pu, Jiangyan; Zhang, Qi Dynamic programming principle and associated Hamilton-Jacobi-Bellman equation for stochastic recursive control problem with non-Lipschitz aggregator. (English) Zbl 1396.93135 ESAIM, Control Optim. Calc. Var. 24, No. 1, 355-376 (2018). MSC: 93E20 90C39 35K10 49L20 49L25 60H15 93C25 93C20 PDFBibTeX XMLCite \textit{J. Pu} and \textit{Q. Zhang}, ESAIM, Control Optim. Calc. Var. 24, No. 1, 355--376 (2018; Zbl 1396.93135) Full Text: DOI arXiv
Palamarchuk, E. S. Optimization of the superstable linear stochastic system applied to the model with extremely impatient agents. (English. Russian original) Zbl 1417.93295 Autom. Remote Control 79, No. 3, 439-450 (2018); translation from Avtom. Telemekh. 2018, No. 3, 61-75 (2018). MSC: 93E03 93E15 93C05 93D20 49K45 PDFBibTeX XMLCite \textit{E. S. Palamarchuk}, Autom. Remote Control 79, No. 3, 439--450 (2018; Zbl 1417.93295); translation from Avtom. Telemekh. 2018, No. 3, 61--75 (2018) Full Text: DOI
Bo, Lijun; Capponi, Agostino Optimal investment under information driven contagious distress. (English) Zbl 1414.91331 SIAM J. Control Optim. 55, No. 2, 1020-1068 (2017). MSC: 91G10 60J20 49L20 PDFBibTeX XMLCite \textit{L. Bo} and \textit{A. Capponi}, SIAM J. Control Optim. 55, No. 2, 1020--1068 (2017; Zbl 1414.91331) Full Text: DOI arXiv
Lin, Xiang; Qian, Yiping Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model. (English) Zbl 1401.91168 Scand. Actuar. J. 2016, No. 7, 646-671 (2016). MSC: 91B30 49L20 62J10 PDFBibTeX XMLCite \textit{X. Lin} and \textit{Y. Qian}, Scand. Actuar. J. 2016, No. 7, 646--671 (2016; Zbl 1401.91168) Full Text: DOI
Bannister, Hugh; Goldys, Beniamin; Penev, Spiridon; Wu, Wei Multiperiod mean-standard-deviation time consistent portfolio selection. (English) Zbl 1372.93216 Automatica 73, 15-26 (2016). MSC: 93E20 49L20 91G10 91G80 PDFBibTeX XMLCite \textit{H. Bannister} et al., Automatica 73, 15--26 (2016; Zbl 1372.93216) Full Text: DOI
Barro, Diana; Canestrelli, Elio Combining stochastic programming and optimal control to decompose multistage stochastic optimization problems. (English) Zbl 1368.90118 OR Spectrum 38, No. 3, 711-742 (2016). MSC: 90C15 49M27 90C06 90C46 65K05 PDFBibTeX XMLCite \textit{D. Barro} and \textit{E. Canestrelli}, OR Spectrum 38, No. 3, 711--742 (2016; Zbl 1368.90118) Full Text: DOI
Capponi, Agostino; Figueroa-López, José E.; Pascucci, Andrea Dynamic credit investment in partially observed markets. (English) Zbl 1323.93073 Finance Stoch. 19, No. 4, 891-939 (2015). MSC: 93E20 91G10 49L20 93E11 60J10 PDFBibTeX XMLCite \textit{A. Capponi} et al., Finance Stoch. 19, No. 4, 891--939 (2015; Zbl 1323.93073) Full Text: DOI arXiv
Lin, Xiang; Zhang, Chunhong; Siu, Tak Kuen Stochastic differential portfolio games for an insurer in a jump-diffusion risk process. (English) Zbl 1276.91095 Math. Methods Oper. Res. 75, No. 1, 83-100 (2012). Reviewer: Yuri Kifer (Jerusalem) MSC: 91G10 91B30 91G80 91A40 91A05 91A15 91A23 49N10 60J75 PDFBibTeX XMLCite \textit{X. Lin} et al., Math. Methods Oper. Res. 75, No. 1, 83--100 (2012; Zbl 1276.91095) Full Text: DOI
Nielsen, Peter Holm; Steffensen, Mogens Optimal investment and life insurance strategies under minimum and maximum constraints. (English) Zbl 1140.91425 Insur. Math. Econ. 43, No. 1, 15-28 (2008). MSC: 91B30 49L20 91B28 93E20 PDFBibTeX XMLCite \textit{P. H. Nielsen} and \textit{M. Steffensen}, Insur. Math. Econ. 43, No. 1, 15--28 (2008; Zbl 1140.91425) Full Text: DOI
Delong, Łukasz; Klüppelberg, Claudia Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients. (English) Zbl 1140.93048 Ann. Appl. Probab. 18, No. 3, 879-908 (2008). MSC: 93E20 91G80 60H30 60J75 47H10 49L20 PDFBibTeX XMLCite \textit{Ł. Delong} and \textit{C. Klüppelberg}, Ann. Appl. Probab. 18, No. 3, 879--908 (2008; Zbl 1140.93048) Full Text: DOI arXiv
Schied, Alexander Robust optimal control for a consumption-investment problem. (English) Zbl 1145.91027 Math. Methods Oper. Res. 67, No. 1, 1-20 (2008). Reviewer: Christian-Oliver Ewald (St. Andrews) MSC: 91B28 49L20 90C47 60H10 PDFBibTeX XMLCite \textit{A. Schied}, Math. Methods Oper. Res. 67, No. 1, 1--20 (2008; Zbl 1145.91027) Full Text: DOI Link