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Guan, Guohui; Liang, Zongxia; Xia, Yi Optimal management of DC pension fund under the relative performance ratio and VaR constraint. (English) Zbl 07619290 Eur. J. Oper. Res. 305, No. 2, 868-886 (2023). MSC: 91G05 91G10 93E20 PDFBibTeX XMLCite \textit{G. Guan} et al., Eur. J. Oper. Res. 305, No. 2, 868--886 (2023; Zbl 07619290) Full Text: DOI arXiv
Li, Yun; Wu, Fuke; Zhang, Ji-feng Near optimality of stochastic control for singularly perturbed McKean-Vlasov systems. (English) Zbl 1500.93147 SIAM J. Control Optim. 60, No. 5, 2859-2883 (2022). MSC: 93E20 93C70 60H10 PDFBibTeX XMLCite \textit{Y. Li} et al., SIAM J. Control Optim. 60, No. 5, 2859--2883 (2022; Zbl 1500.93147) Full Text: DOI
Colaneri, Katia; Herzel, Stefano; Nicolosi, Marco The value of knowing the market price of risk. (English) Zbl 1476.91144 Ann. Oper. Res. 299, No. 1-2, 101-131 (2021). MSC: 91G10 93E20 60G44 PDFBibTeX XMLCite \textit{K. Colaneri} et al., Ann. Oper. Res. 299, No. 1--2, 101--131 (2021; Zbl 1476.91144) Full Text: DOI arXiv
Meral, Alev Comparison of various risk measures for an optimal portfolio. (English) Zbl 1474.91180 Acta Univ. Apulensis, Math. Inform. 64, 83-115 (2020). MSC: 91G10 93E20 91G70 PDFBibTeX XMLCite \textit{A. Meral}, Acta Univ. Apulensis, Math. Inform. 64, 83--115 (2020; Zbl 1474.91180) Full Text: arXiv
Zhai, Yonghui; Wang, Yiwei; Gao, Qinghui Optimal investment strategies for DC occupational pension fund based stochastic contribution flow model: under the constraint of a minimum guarantee. (Chinese. English summary) Zbl 1463.91122 J. Henan Norm. Univ., Nat. Sci. 48, No. 2, 6-13 (2020). MSC: 91G05 93E20 60G44 PDFBibTeX XMLCite \textit{Y. Zhai} et al., J. Henan Norm. Univ., Nat. Sci. 48, No. 2, 6--13 (2020; Zbl 1463.91122) Full Text: DOI
Zakaria, Ali Stochastic system for generalized polytropic filtration. (English) Zbl 1479.60141 Math. Methods Appl. Sci. 43, No. 1, 134-173 (2020). Reviewer: Jonas M. Tölle (Aalto) MSC: 60H15 35D30 35K59 76A05 93E03 35R60 PDFBibTeX XMLCite \textit{A. Zakaria}, Math. Methods Appl. Sci. 43, No. 1, 134--173 (2020; Zbl 1479.60141) Full Text: DOI
Ogihara, Teppei; Tanaka, Hideyuki Asymptotic error distributions of the Euler method for continuous-time nonlinear filtering. (English) Zbl 1444.60031 Japan J. Ind. Appl. Math. 37, No. 2, 383-413 (2020). MSC: 60G35 93E11 60F05 65C20 PDFBibTeX XMLCite \textit{T. Ogihara} and \textit{H. Tanaka}, Japan J. Ind. Appl. Math. 37, No. 2, 383--413 (2020; Zbl 1444.60031) Full Text: DOI arXiv
Lin, Hongcan; Saunders, David; Weng, Chengguo Portfolio optimization with performance ratios. (English) Zbl 1422.91657 Int. J. Theor. Appl. Finance 22, No. 5, Article ID 1950022, 38 p. (2019). MSC: 91G10 93E20 60G44 PDFBibTeX XMLCite \textit{H. Lin} et al., Int. J. Theor. Appl. Finance 22, No. 5, Article ID 1950022, 38 p. (2019; Zbl 1422.91657) Full Text: DOI
Bayraktar, Erhan; Cox, Alexander M. G.; Stoev, Yavor Martingale optimal transport with stopping. (English) Zbl 1405.60053 SIAM J. Control Optim. 56, No. 1, 417-433 (2018). MSC: 60G40 93E20 PDFBibTeX XMLCite \textit{E. Bayraktar} et al., SIAM J. Control Optim. 56, No. 1, 417--433 (2018; Zbl 1405.60053) Full Text: DOI arXiv
Song, Jingjing; Bi, Xiuchun; Li, Rong; Zhang, Shuguang Optimal consumption and portfolio selection problems under loss aversion with downside consumption constraints. (English) Zbl 1411.91531 Appl. Math. Comput. 299, 80-94 (2017). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{J. Song} et al., Appl. Math. Comput. 299, 80--94 (2017; Zbl 1411.91531) Full Text: DOI
Menoncin, Francesco; Vigna, Elena Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework. (English) Zbl 1396.91307 Insur. Math. Econ. 76, 172-184 (2017). MSC: 91B30 91G10 93E20 PDFBibTeX XMLCite \textit{F. Menoncin} and \textit{E. Vigna}, Insur. Math. Econ. 76, 172--184 (2017; Zbl 1396.91307) Full Text: DOI
Guan, Guohui; Liang, Zongxia Optimal management of DC pension plan under loss aversion and value-at-risk constraints. (English) Zbl 1369.91197 Insur. Math. Econ. 69, 224-237 (2016). MSC: 91G70 91G10 93E20 PDFBibTeX XMLCite \textit{G. Guan} and \textit{Z. Liang}, Insur. Math. Econ. 69, 224--237 (2016; Zbl 1369.91197) Full Text: DOI
Liang, Xiaoqing; Guo, Junyi Optimal investment, consumption, and life insurance in an incomplete market. (English) Zbl 1397.91292 Commun. Stat., Theory Methods 45, No. 13, 3884-3903 (2016). MSC: 91B30 91G10 93E20 PDFBibTeX XMLCite \textit{X. Liang} and \textit{J. Guo}, Commun. Stat., Theory Methods 45, No. 13, 3884--3903 (2016; Zbl 1397.91292) Full Text: DOI
Kronborg, Morten Tolver; Steffensen, Mogens Optimal consumption, investment and life insurance with surrender option guarantee. (English) Zbl 1398.91336 Scand. Actuar. J. 2015, No. 1, 59-87 (2015). MSC: 91B30 91G20 93E20 60G44 PDFBibTeX XMLCite \textit{M. T. Kronborg} and \textit{M. Steffensen}, Scand. Actuar. J. 2015, No. 1, 59--87 (2015; Zbl 1398.91336) Full Text: DOI
Liang, Zongxia; Ma, Ming Optimal dynamic asset allocation of pension fund in mortality and salary risks framework. (English) Zbl 1348.91167 Insur. Math. Econ. 64, 151-161 (2015). MSC: 91B30 91G10 93E20 PDFBibTeX XMLCite \textit{Z. Liang} and \textit{M. Ma}, Insur. Math. Econ. 64, 151--161 (2015; Zbl 1348.91167) Full Text: DOI
López, Oscar; Serrano, Rafael Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models. (English) Zbl 1315.91058 Stoch. Models 31, No. 2, 261-291 (2015). MSC: 91G10 60J20 60J75 93E20 PDFBibTeX XMLCite \textit{O. López} and \textit{R. Serrano}, Stoch. Models 31, No. 2, 261--291 (2015; Zbl 1315.91058) Full Text: DOI arXiv
Yu, Minxiu; Fei, Weiyin; Xia, Dengfeng Optimal consumption and portfolio with ambiguity to Markovian switching. (Chinese. English summary) Zbl 1313.91160 Chin. J. Appl. Probab. Stat. 30, No. 4, 353-371 (2014). MSC: 91G10 62P05 60G48 60J75 93E20 PDFBibTeX XMLCite \textit{M. Yu} et al., Chin. J. Appl. Probab. Stat. 30, No. 4, 353--371 (2014; Zbl 1313.91160) Full Text: DOI
Dalang, Robert C.; Vinckenbosch, Laura Optimal expulsion and optimal confinement of a Brownian particle with a switching cost. (English) Zbl 1417.93334 Stochastic Processes Appl. 124, No. 12, 4050-4079 (2014). MSC: 93E20 60G40 60J65 91A40 PDFBibTeX XMLCite \textit{R. C. Dalang} and \textit{L. Vinckenbosch}, Stochastic Processes Appl. 124, No. 12, 4050--4079 (2014; Zbl 1417.93334) Full Text: DOI arXiv
Lim, Byung Hwa The effect of inflation risk and subsistence constraints on portfolio choice. (English) Zbl 1316.91031 J. Korean Soc. Ind. Appl. Math. 17, No. 2, 115-128 (2013). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{B. H. Lim}, J. Korean Soc. Ind. Appl. Math. 17, No. 2, 115--128 (2013; Zbl 1316.91031) Full Text: DOI Link
Alazki, Hussain; Poznyak, Alex Robust stochastic tracking for discrete-time models: designing of ellipsoid where random trajectories converge with probability one. (English) Zbl 1307.93368 Int. J. Syst. Sci. 43, No. 8, 1519-1533 (2012). MSC: 93E03 93B35 93C55 PDFBibTeX XMLCite \textit{H. Alazki} and \textit{A. Poznyak}, Int. J. Syst. Sci. 43, No. 8, 1519--1533 (2012; Zbl 1307.93368) Full Text: DOI
Mu, Bi-Qiang; Chen, Han-Fu Recursive identification of Wiener-Hammerstein systems. (English) Zbl 1257.93108 SIAM J. Control Optim. 50, No. 5, 2621-2658 (2012). MSC: 93E12 93E10 93C55 PDFBibTeX XMLCite \textit{B.-Q. Mu} and \textit{H.-F. Chen}, SIAM J. Control Optim. 50, No. 5, 2621--2658 (2012; Zbl 1257.93108) Full Text: DOI
Zhang, Aihua; Ewald, Christian-Oliver Optimal investment for a pension fund under inflation risk. (English) Zbl 1189.93147 Math. Methods Oper. Res. 71, No. 2, 353-369 (2010). MSC: 93E20 91G10 PDFBibTeX XMLCite \textit{A. Zhang} and \textit{C.-O. Ewald}, Math. Methods Oper. Res. 71, No. 2, 353--369 (2010; Zbl 1189.93147) Full Text: DOI
Seifried, Frank Thomas Optimal investment with deferred capital gains taxes. (English) Zbl 1185.93150 Math. Methods Oper. Res. 71, No. 1, 181-199 (2010). MSC: 93E20 91G10 PDFBibTeX XMLCite \textit{F. T. Seifried}, Math. Methods Oper. Res. 71, No. 1, 181--199 (2010; Zbl 1185.93150) Full Text: DOI
Castañeda-Leyva, Netzahualcóyotl; Hernández-Hernández, Daniel Optimal consumption-investment problems in incomplete markets with stochastic coefficients. (English) Zbl 1140.91381 SIAM J. Control Optim. 44, No. 4, 1322-1344 (2005). MSC: 91B28 49L20 93E20 PDFBibTeX XMLCite \textit{N. Castañeda-Leyva} and \textit{D. Hernández-Hernández}, SIAM J. Control Optim. 44, No. 4, 1322--1344 (2005; Zbl 1140.91381) Full Text: DOI
Gabih, A.; Grecksch, W.; Wunderlich, R. Dynamic portfolio optimization with bounded shortfall risks. (English) Zbl 1121.91046 Stochastic Anal. Appl. 23, No. 3, 579-594 (2005). Reviewer: Renming Song (Urbana) MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{A. Gabih} et al., Stochastic Anal. Appl. 23, No. 3, 579--594 (2005; Zbl 1121.91046) Full Text: DOI
Castañeda-Leyva, Netzahualcóyotl; Hernández-Hernández, Daniel Optimal portfolio management with consumption. (English) Zbl 1101.91032 Yin, George (ed.) et al., Mathematics of finance. Proceedings of an AMS-IMS-SIAM joint summer research conference on mathematics of finance, June 22–26, 2003, Snowbird, Utah, USA. Providence, RI: American Mathematical Society (AMS) (ISBN 0-8218-3412-6/pbk). Contemporary Mathematics 351, 81-91 (2004). Reviewer: Elias Shiu (Iowa City) MSC: 91B28 90C46 60J60 93B20 60G44 60H10 60H30 93E20 PDFBibTeX XMLCite \textit{N. Castañeda-Leyva} and \textit{D. Hernández-Hernández}, Contemp. Math. 351, 81--91 (2004; Zbl 1101.91032)
Kim, Jong Uhn Approximate controllability of a stochastic wave equation. (English) Zbl 1059.93019 Appl. Math. Optimization 49, No. 1, 81-98 (2004). Reviewer: Hector O. Fattorini (Los Angeles) MSC: 93B05 35L05 93C20 35R60 60H15 PDFBibTeX XMLCite \textit{J. U. Kim}, Appl. Math. Optim. 49, No. 1, 81--98 (2004; Zbl 1059.93019) Full Text: DOI
Castañeda-Leyva, Natzahualcóyotl; Hernández-Hernández, Daniel Optimal investment in incomplete financial markets with stochastic volatility. (English) Zbl 1045.60085 González-Barrios, José M. (ed.) et al., Stochastic models. Seventh symposium on probability and stochastic processes, June 23–28, 2002, Mexico City, Mexico. Selected papers. Providence, RI: American Mathematical Society (AMS) (ISBN 0-8218-3466-5/pbk). Contemp. Math. 336, 119-136 (2003). MSC: 60J70 91B28 93E20 PDFBibTeX XMLCite \textit{N. Castañeda-Leyva} and \textit{D. Hernández-Hernández}, Contemp. Math. 336, 119--136 (2003; Zbl 1045.60085)
Korn, Ralf; Korn, Elke Option pricing and portfolio optimization. Modern methods of financial mathematics. Transl. from the German by the authors. (English) Zbl 0965.91020 Graduate Studies in Mathematics. 31. Providence, RI: American Mathematical Society (AMS). xiv, 253 p. (2001). Reviewer: T.Postelnicu (Bucureşti) MSC: 91-02 91G10 91G20 91G60 91G80 62P05 93E20 60G44 60H05 60H30 PDFBibTeX XMLCite \textit{R. Korn} and \textit{E. Korn}, Option pricing and portfolio optimization. Modern methods of financial mathematics. Transl. from the German by the authors. Providence, RI: AMS, American Mathematical Society (2001; Zbl 0965.91020)
Goll, Thomas; Kallsen, Jan Optimal portfolios for logarithmic utility. (English) Zbl 1048.91064 Stochastic Processes Appl. 89, No. 1, 31-48 (2000). Reviewer: Alexis Derviz (Praha) MSC: 91G10 93E20 60G44 60H30 60G48 PDFBibTeX XMLCite \textit{T. Goll} and \textit{J. Kallsen}, Stochastic Processes Appl. 89, No. 1, 31--48 (2000; Zbl 1048.91064) Full Text: DOI
Liang, Jun; Fu, Xuetong; Lu, Yongzai Adaptive PID controller. II: Analysis for global convergence. (Chinese. English summary) Zbl 0848.93070 J. Zhejiang Univ., Nat. Sci. Ed. 28, No. 6, 629-636 (1994). Reviewer: M.-Y.Wu (Boulder) MSC: 93E35 93C40 93E15 PDFBibTeX XMLCite \textit{J. Liang} et al., J. Zhejiang Univ., Nat. Sci. Ed. 28, No. 6, 629--636 (1994; Zbl 0848.93070)
Huang, Hui Optimal control of piecewise continuous stochastic processes. (English) Zbl 0766.49028 Bonner Mathematische Schriften. 206. Bonn: Univ. Bonn, Math.-Naturw. Fak. 96 p. (1989). Reviewer: E.Bertsch (Ludwigsburg) MSC: 49L25 93E20 60G40 49K45 49J55 PDFBibTeX XMLCite \textit{H. Huang}, Optimal control of piecewise continuous stochastic processes. Bonn: Univ. Bonn, Math.-Naturw. Fak. (1989; Zbl 0766.49028)
Banks, H. T.; Kojima, Fumio Filtering problem for the stochastic vibration of flexible beams with tip bodies. (English) Zbl 0697.73068 Distributed parameter systems: modelling and simulation, Proc. IMACS/IFAC Int. Symp., Hiroshima/Jap. 1987, 231-238 (1989). Reviewer: L.Sperling MSC: 74H50 93E11 60G35 74H45 60H05 74S30 PDFBibTeX XML
Pontier, Monique; Szpirglas, Jacques Filtering with observations on a Riemannian symmetric space. (English) Zbl 0648.93061 SIAM J. Control Optimization 26, No. 3, 609-627 (1988). Reviewer: M.Piccioni MSC: 93E11 60G35 60J60 58J65 62M20 53C35 PDFBibTeX XMLCite \textit{M. Pontier} and \textit{J. Szpirglas}, SIAM J. Control Optim. 26, No. 3, 609--627 (1988; Zbl 0648.93061) Full Text: DOI
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Grecksch, Wilfried; Müller, P. Heinz Zur näherungsweisen Ermittlung optimaler stochastischer Steuerungen durch Diskretisierung. (German) Zbl 0396.49025 Math. Operationsforsch. Stat., Ser. Stat. 9, 383-393 (1978). MSC: 49M15 93E20 49J55 60H05 60H10 PDFBibTeX XMLCite \textit{W. Grecksch} and \textit{P. H. Müller}, Math. Operationsforsch. Stat., Ser. Stat. 9, 383--393 (1978; Zbl 0396.49025) Full Text: DOI