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
Nie, Panpan; Wang, Guangchen; Wang, Yu Necessary and sufficient conditions for Pareto optimal solution of backward stochastic system with application. (English) Zbl 07795086 IEEE Trans. Autom. Control 68, No. 11, 6696-6710 (2023). MSC: 93-XX PDFBibTeX XMLCite \textit{P. Nie} et al., IEEE Trans. Autom. Control 68, No. 11, 6696--6710 (2023; Zbl 07795086) Full Text: DOI
Jeon, Junkee; Oh, Jehan Labor supply flexibility and portfolio selection with early retirement option. (English) Zbl 07771775 Appl. Math. Optim. 88, No. 3, Paper No. 88, 50 p. (2023). MSC: 91G10 93E20 60G40 49N15 PDFBibTeX XMLCite \textit{J. Jeon} and \textit{J. Oh}, Appl. Math. Optim. 88, No. 3, Paper No. 88, 50 p. (2023; Zbl 07771775) Full Text: DOI
de Melo, Maisa Kely; Nogueira Cardoso, Rodrigo Tomás; Argolo Jesus, Tales; Vianna Raffo, Guilherme Investment portfolio tracking using model predictive control. (English) Zbl 07754174 Optim. Control Appl. Methods 44, No. 1, 259-274 (2023). MSC: 91G10 93B45 PDFBibTeX XMLCite \textit{M. K. de Melo} et al., Optim. Control Appl. Methods 44, No. 1, 259--274 (2023; Zbl 07754174) Full Text: DOI
Dorobantu, Victor D.; Azizzadenesheli, Kamyar; Yue, Yisong Compactly restrictable metric policy optimization problems. (English) Zbl 07744624 IEEE Trans. Autom. Control 68, No. 5, 3115-3122 (2023). MSC: 93-XX PDFBibTeX XMLCite \textit{V. D. Dorobantu} et al., IEEE Trans. Autom. Control 68, No. 5, 3115--3122 (2023; Zbl 07744624) Full Text: DOI
Hoshiea, M.; Mousa, A. S.; Pinto, A. A. Optimal social welfare policy within financial and life insurance markets. (English) Zbl 1522.91116 Optimization 72, No. 9, 2367-2391 (2023). MSC: 91B15 93E20 91G15 91G05 49L20 PDFBibTeX XMLCite \textit{M. Hoshiea} et al., Optimization 72, No. 9, 2367--2391 (2023; Zbl 1522.91116) Full Text: DOI
Dehm, Christian; Nguyen, Thai; Stadje, Mitja Non-concave expected utility optimization with uncertain time horizon. (English) Zbl 07730266 Appl. Math. Optim. 88, No. 2, Paper No. 65, 39 p. (2023). MSC: 91G10 91B16 93E20 PDFBibTeX XMLCite \textit{C. Dehm} et al., Appl. Math. Optim. 88, No. 2, Paper No. 65, 39 p. (2023; Zbl 07730266) Full Text: DOI arXiv
Hu, Kaitong; Ren, Zhenjie; Yang, Junjian Principal-agent problem with multiple principals. (English) Zbl 1520.91231 Stochastics 95, No. 5, 878-905 (2023). MSC: 91B43 91B41 91A16 93E20 PDFBibTeX XMLCite \textit{K. Hu} et al., Stochastics 95, No. 5, 878--905 (2023; Zbl 1520.91231) Full Text: DOI arXiv
Li, Yanwen; Gao, Siyang Convergence rate analysis for optimal computing budget allocation algorithms. (English) Zbl 1520.93316 Automatica 153, Article ID 111042, 16 p. (2023). MSC: 93C65 90C26 PDFBibTeX XMLCite \textit{Y. Li} and \textit{S. Gao}, Automatica 153, Article ID 111042, 16 p. (2023; Zbl 1520.93316) Full Text: DOI arXiv
Li, Yanwen; Gao, Siyang; Shi, Tony Z. Asymptotic optimality of myopic ranking and selection procedures. (English) Zbl 1520.93317 Automatica 151, Article ID 110896, 13 p. (2023). MSC: 93C65 49N90 PDFBibTeX XMLCite \textit{Y. Li} et al., Automatica 151, Article ID 110896, 13 p. (2023; Zbl 1520.93317) Full Text: DOI arXiv
Kang, Jian-hao; Gou, Zhun; Huang, Nan-jing Robust equilibrium strategies for time-inconsistent stochastic optimal control problems with applications. (English) Zbl 1518.93155 Commun. Nonlinear Sci. Numer. Simul. 123, Article ID 107270, 29 p. (2023). MSC: 93E20 91G10 91G80 60H30 91A80 PDFBibTeX XMLCite \textit{J.-h. Kang} et al., Commun. Nonlinear Sci. Numer. Simul. 123, Article ID 107270, 29 p. (2023; Zbl 1518.93155) Full Text: DOI
He, Wei; Luo, Peng; Wang, Falei Maximum principle for mean-field SDEs under model uncertainty. (English) Zbl 1514.93062 Appl. Math. Optim. 87, No. 3, Paper No. 59, 42 p. (2023). MSC: 93E20 60H30 91G10 PDFBibTeX XMLCite \textit{W. He} et al., Appl. Math. Optim. 87, No. 3, Paper No. 59, 42 p. (2023; Zbl 1514.93062) Full Text: DOI
Wen, Jiaqiang; Li, Xun; Xiong, Jie; Zhang, Xin Stochastic linear-quadratic optimal control problems with random coefficients and Markovian regime switching system. (English) Zbl 1512.49033 SIAM J. Control Optim. 61, No. 2, 949-979 (2023). Reviewer: Savin Treanta (Bucureşti) MSC: 49N10 49J55 93E20 PDFBibTeX XMLCite \textit{J. Wen} et al., SIAM J. Control Optim. 61, No. 2, 949--979 (2023; Zbl 1512.49033) Full Text: DOI arXiv
Jeon, Junkee; Park, Kyunghyun Optimal job switching and retirement decision. (English) Zbl 1511.91072 Appl. Math. Comput. 443, Article ID 127777, 25 p. (2023). MSC: 91B39 60G40 93E20 PDFBibTeX XMLCite \textit{J. Jeon} and \textit{K. Park}, Appl. Math. Comput. 443, Article ID 127777, 25 p. (2023; Zbl 1511.91072) Full Text: DOI
Marisu, Godeliva Petrina; Pun, Chi Seng Bayesian estimation and optimization for learning sequential regularized portfolios. (English) Zbl 1511.91132 SIAM J. Financ. Math. 14, No. 1, 127-157 (2023). MSC: 91G10 90C05 93E20 PDFBibTeX XMLCite \textit{G. P. Marisu} and \textit{C. S. Pun}, SIAM J. Financ. Math. 14, No. 1, 127--157 (2023; Zbl 1511.91132) Full Text: DOI
Liu, Wenyue; Cadenillas, Abel Optimal insurance contracts for a shot-noise Cox claim process and persistent insured’s actions. (English) Zbl 1508.91479 Insur. Math. Econ. 109, 69-93 (2023). MSC: 91G05 91B41 93E20 PDFBibTeX XMLCite \textit{W. Liu} and \textit{A. Cadenillas}, Insur. Math. Econ. 109, 69--93 (2023; Zbl 1508.91479) Full Text: DOI
Como, Giacomo; Durand, Stéphane; Fagnani, Fabio Optimal targeting in super-modular games. (English) Zbl 07742138 IEEE Trans. Autom. Control 67, No. 12, 6366-6380 (2022). MSC: 93-XX PDFBibTeX XMLCite \textit{G. Como} et al., IEEE Trans. Autom. Control 67, No. 12, 6366--6380 (2022; Zbl 07742138) Full Text: DOI arXiv
Yang, Tingting; Huang, Xiaoxia A new portfolio optimization model under tracking-error constraint with linear uncertainty distributions. (English) Zbl 1507.91208 J. Optim. Theory Appl. 195, No. 2, 723-747 (2022). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{T. Yang} and \textit{X. Huang}, J. Optim. Theory Appl. 195, No. 2, 723--747 (2022; Zbl 1507.91208) Full Text: DOI
Källblad, Sigrid A dynamic programming approach to distribution-constrained optimal stopping. (English) Zbl 1503.60050 Ann. Appl. Probab. 32, No. 3, 1902-1928 (2022). MSC: 60G40 49L20 58E25 60G57 62L15 93E20 PDFBibTeX XMLCite \textit{S. Källblad}, Ann. Appl. Probab. 32, No. 3, 1902--1928 (2022; Zbl 1503.60050) Full Text: DOI
Dong, Bozhang; Nie, Tianyang; Wu, Zhen Maximum principle for discrete-time stochastic control problem of mean-field type. (English) Zbl 1498.93774 Automatica 144, Article ID 110497, 12 p. (2022). MSC: 93E20 49J40 93C55 39A50 91G10 PDFBibTeX XMLCite \textit{B. Dong} et al., Automatica 144, Article ID 110497, 12 p. (2022; Zbl 1498.93774) Full Text: DOI
He, Xue Dong; Jiang, Zhaoli Mean-variance portfolio selection with dynamic targets for expected terminal wealth. (English) Zbl 1491.91120 Math. Oper. Res. 47, No. 1, 587-615 (2022). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{X. D. He} and \textit{Z. Jiang}, Math. Oper. Res. 47, No. 1, 587--615 (2022; Zbl 1491.91120) Full Text: DOI
Djete, Mao Fabrice; Possamaï, Dylan; Tan, Xiaolu McKean-Vlasov optimal control: the dynamic programming principle. (English) Zbl 1491.49018 Ann. Probab. 50, No. 2, 791-833 (2022). Reviewer: Svetlana A. Kravchenko (Minsk) MSC: 49L20 93E20 60K35 60H30 90C39 49J55 PDFBibTeX XMLCite \textit{M. F. Djete} et al., Ann. Probab. 50, No. 2, 791--833 (2022; Zbl 1491.49018) Full Text: DOI arXiv Link
Barbos, Andrei Optimal contracts with random monitoring. (English) Zbl 1484.91245 Int. J. Game Theory 51, No. 1, 119-154 (2022). MSC: 91B41 93E20 PDFBibTeX XMLCite \textit{A. Barbos}, Int. J. Game Theory 51, No. 1, 119--154 (2022; Zbl 1484.91245) Full Text: DOI
Hu, Ying; Shi, Xiaomin; Xu, Zuo Quan Constrained stochastic LQ control with regime switching and application to portfolio selection. (English) Zbl 1484.91425 Ann. Appl. Probab. 32, No. 1, 426-460 (2022). MSC: 91G10 93E20 49N10 60H30 PDFBibTeX XMLCite \textit{Y. Hu} et al., Ann. Appl. Probab. 32, No. 1, 426--460 (2022; Zbl 1484.91425) Full Text: DOI arXiv
Lin, Yiqing; Ren, Zhenjie; Touzi, Nizar; Yang, Junjian Random horizon principal-agent problems. (English) Zbl 1483.91123 SIAM J. Control Optim. 60, No. 1, 355-384 (2022). MSC: 91B43 91B41 93E20 PDFBibTeX XMLCite \textit{Y. Lin} et al., SIAM J. Control Optim. 60, No. 1, 355--384 (2022; Zbl 1483.91123) Full Text: DOI arXiv
Zhang, Caibin; Liang, Zhibin; Yuen, Kam Chuen Portfolio optimization for jump-diffusion risky assets with regime switching: a time-consistent approach. (English) Zbl 1499.62397 J. Ind. Manag. Optim. 18, No. 1, 341-366 (2022). MSC: 62P05 91G10 93E20 PDFBibTeX XMLCite \textit{C. Zhang} et al., J. Ind. Manag. Optim. 18, No. 1, 341--366 (2022; Zbl 1499.62397) Full Text: DOI
Pun, Chi Seng; Ye, Zi Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint. (English) Zbl 1479.91363 Automatica 135, Article ID 109986, 9 p. (2022). MSC: 91G10 93E20 90C39 PDFBibTeX XMLCite \textit{C. S. Pun} and \textit{Z. Ye}, Automatica 135, Article ID 109986, 9 p. (2022; Zbl 1479.91363) Full Text: DOI
Xie, Siyu; Nazari, Masoud H.; Wang, Le Yi; Yin, George Adaptive step size selection in distributed optimization with observation noise and unknown stochastic target variation. (English) Zbl 1478.93745 Automatica 135, Article ID 109940, 6 p. (2022). MSC: 93E20 93E35 93B70 PDFBibTeX XMLCite \textit{S. Xie} et al., Automatica 135, Article ID 109940, 6 p. (2022; Zbl 1478.93745) Full Text: DOI
Santibáñez, Nicolás Hernández Principal-Multiagents problem under equivalent changes of measure: general study and an existence result. arXiv:2208.11575 Preprint, arXiv:2208.11575 [math.OC] (2022). MSC: 91B41 91B43 93E20 49L25 BibTeX Cite \textit{N. H. Santibáñez}, ``Principal-Multiagents problem under equivalent changes of measure: general study and an existence result'', Preprint, arXiv:2208.11575 [math.OC] (2022) Full Text: arXiv OA License
Zhang, Jianfeng; Zhu, Zimu A Dynamic Principal Agent Problem with One-sided Commitment. arXiv:2208.06473 Preprint, arXiv:2208.06473 [math.OC] (2022). MSC: 91B41 91B43 93E20 35K40 49L25 BibTeX Cite \textit{J. Zhang} and \textit{Z. Zhu}, ``A Dynamic Principal Agent Problem with One-sided Commitment'', Preprint, arXiv:2208.06473 [math.OC] (2022) Full Text: arXiv OA License
Bi, Junna; Hu, Jien Optimal mean-semi-variance investment-reinsurance problem under probability distortion for an insurer. (Chinese. English summary) Zbl 07796253 Acta Math. Appl. Sin. 44, No. 6, 869-894 (2021). MSC: 62P05 91B30 93E20 PDFBibTeX XMLCite \textit{J. Bi} and \textit{J. Hu}, Acta Math. Appl. Sin. 44, No. 6, 869--894 (2021; Zbl 07796253) Full Text: Link
Koo, Hyeng Keun; Roh, Kum-Hwan; Shin, Yong Hyun Optimal consumption/investment and retirement with necessities and luxuries. (English) Zbl 1482.91197 Math. Methods Oper. Res. 94, No. 2, 281-317 (2021). MSC: 91G10 93E20 91B16 PDFBibTeX XMLCite \textit{H. K. Koo} et al., Math. Methods Oper. Res. 94, No. 2, 281--317 (2021; Zbl 1482.91197) Full Text: DOI
Park, Kyunghyun; Lee, Hyoseob; Shin, Yong Hyun Effects of a government subsidy and labor flexibility on portfolio selection and retirement. (English) Zbl 1479.91362 Quant. Finance 21, No. 6, 967-989 (2021). MSC: 91G10 91B39 93E20 PDFBibTeX XMLCite \textit{K. Park} et al., Quant. Finance 21, No. 6, 967--989 (2021; Zbl 1479.91362) Full Text: DOI
Christensen, Bent Jesper; Parra-Alvarez, Juan Carlos; Serrano, Rafael Optimal control of investment, premium and deductible for a non-life insurance company. (English) Zbl 1475.91293 Insur. Math. Econ. 101, 384-405 (2021). MSC: 91G05 93E20 PDFBibTeX XMLCite \textit{B. J. Christensen} et al., Insur. Math. Econ. 101, 384--405 (2021; Zbl 1475.91293) Full Text: DOI
Djema, Walid; Giraldi, Laetitia; Maslovskaya, Sofya; Bernard, Olivier Turnpike features in optimal selection of species represented by quota models. (English) Zbl 1478.92123 Automatica 132, Article ID 109804, 10 p. (2021). MSC: 92C75 93C10 49N90 PDFBibTeX XMLCite \textit{W. Djema} et al., Automatica 132, Article ID 109804, 10 p. (2021; Zbl 1478.92123) Full Text: DOI
He, Xue Dong; Jiang, Zhao Li On the equilibrium strategies for time-inconsistent problems in continuous time. (English) Zbl 1471.91498 SIAM J. Control Optim. 59, No. 5, 3860-3886 (2021). MSC: 91G10 93E20 91A80 PDFBibTeX XMLCite \textit{X. D. He} and \textit{Z. L. Jiang}, SIAM J. Control Optim. 59, No. 5, 3860--3886 (2021; Zbl 1471.91498) Full Text: DOI
Yang, Zhou; Koo, Hyeng Keun; Shin, Yong Hyun Optimal retirement in a general market environment. (English) Zbl 1470.91253 Appl. Math. Optim. 84, No. 1, 1083-1130 (2021). MSC: 91G10 93E20 60H15 PDFBibTeX XMLCite \textit{Z. Yang} et al., Appl. Math. Optim. 84, No. 1, 1083--1130 (2021; Zbl 1470.91253) Full Text: DOI
Lin, Hongcan; Saunders, David; Weng, Chengguo Mean-expectile portfolio selection. (English) Zbl 1468.91142 Appl. Math. Optim. 83, No. 3, 1585-1612 (2021). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{H. Lin} et al., Appl. Math. Optim. 83, No. 3, 1585--1612 (2021; Zbl 1468.91142) Full Text: DOI
Bielecki, Tomasz R.; Chen, Tao; Cialenco, Igor Time-inconsistent Markovian control problems under model uncertainty with application to the mean-variance portfolio selection. (English) Zbl 1466.91279 Int. J. Theor. Appl. Finance 24, No. 1, Article ID 2150003, 28 p. (2021). MSC: 91G10 91A80 93C40 93B35 93E03 PDFBibTeX XMLCite \textit{T. R. Bielecki} et al., Int. J. Theor. Appl. Finance 24, No. 1, Article ID 2150003, 28 p. (2021; Zbl 1466.91279) Full Text: DOI arXiv
Tang, Chao; Li, Xueqin; Huang, Tianmin Solvability for indefinite mean-field stochastic linear quadratic optimal control with random jumps and its applications. (English) Zbl 1469.93123 Optim. Control Appl. Methods 41, No. 6, 2320-2348 (2020). MSC: 93E20 49N10 91G10 PDFBibTeX XMLCite \textit{C. Tang} et al., Optim. Control Appl. Methods 41, No. 6, 2320--2348 (2020; Zbl 1469.93123) Full Text: DOI
Lai, Chong; Li, Rui; Wu, Yonghong Optimal compensation and investment affected by firm size and time-varying external factors. (English) Zbl 1461.91345 Ann. Finance 16, No. 3, 407-422 (2020). MSC: 91G50 91B41 93E20 PDFBibTeX XMLCite \textit{C. Lai} et al., Ann. Finance 16, No. 3, 407--422 (2020; Zbl 1461.91345) Full Text: DOI
Shigeta, Yuki Gain/loss asymmetric stochastic differential utility. (English) Zbl 1517.91206 J. Econ. Dyn. Control 118, Article ID 103975, 21 p. (2020). MSC: 91G10 91B16 93E20 60H10 PDFBibTeX XMLCite \textit{Y. Shigeta}, J. Econ. Dyn. Control 118, Article ID 103975, 21 p. (2020; Zbl 1517.91206) Full Text: DOI
Strub, Moris S.; Li, Duan A note on monotone mean-variance preferences for continuous processes. (English) Zbl 1478.91172 Oper. Res. Lett. 48, No. 4, 397-400 (2020). MSC: 91G10 91G80 93E20 PDFBibTeX XMLCite \textit{M. S. Strub} and \textit{D. Li}, Oper. Res. Lett. 48, No. 4, 397--400 (2020; Zbl 1478.91172) Full Text: DOI
Yener, Haluk Proportional reinsurance and investment in multiple risky assets under borrowing constraint. (English) Zbl 1447.91153 Scand. Actuar. J. 2020, No. 5, 396-418 (2020). MSC: 91G05 93E20 PDFBibTeX XMLCite \textit{H. Yener}, Scand. Actuar. J. 2020, No. 5, 396--418 (2020; Zbl 1447.91153) Full Text: DOI
Yang, Ben-Zhang; Lu, Xiaoping; Ma, Guiyuan; Zhu, Song-Ping Robust portfolio optimization with multi-factor stochastic volatility. (English) Zbl 1466.91300 J. Optim. Theory Appl. 186, No. 1, 264-298 (2020). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{B.-Z. Yang} et al., J. Optim. Theory Appl. 186, No. 1, 264--298 (2020; Zbl 1466.91300) Full Text: DOI arXiv
Chow, Yuk-Loong; Yu, Xiang; Zhou, Chao On dynamic programming principle for stochastic control under expectation constraints. (English) Zbl 1447.93374 J. Optim. Theory Appl. 185, No. 3, 803-818 (2020). MSC: 93E20 90C39 91G10 PDFBibTeX XMLCite \textit{Y.-L. Chow} et al., J. Optim. Theory Appl. 185, No. 3, 803--818 (2020; Zbl 1447.93374) Full Text: DOI arXiv
Liu, Fengjun; Niu, Yingjie; Zou, Zhentao Incomplete markets, Knightian uncertainty and high-water marks. (English) Zbl 1525.91110 Oper. Res. Lett. 48, No. 2, 195-201 (2020). MSC: 91B41 49K45 49L20 93E20 PDFBibTeX XMLCite \textit{F. Liu} et al., Oper. Res. Lett. 48, No. 2, 195--201 (2020; Zbl 1525.91110) Full Text: DOI
Mi, Hui; Xu, Lixia Optimal investment with derivatives and pricing in an incomplete market. (English) Zbl 1431.91402 J. Comput. Appl. Math. 368, Article ID 112522, 10 p. (2020). MSC: 91G20 91G10 93E20 PDFBibTeX XMLCite \textit{H. Mi} and \textit{L. Xu}, J. Comput. Appl. Math. 368, Article ID 112522, 10 p. (2020; Zbl 1431.91402) Full Text: DOI
Pei, Yongzhen; Chen, Miaomiao; Liang, Xiyin; Li, Changguo Model-based on fishery management systems with selective harvest policies. (English) Zbl 07316585 Math. Comput. Simul. 156, 377-395 (2019). MSC: 93Cxx 90Cxx 49Lxx 49-XX PDFBibTeX XMLCite \textit{Y. Pei} et al., Math. Comput. Simul. 156, 377--395 (2019; Zbl 07316585) Full Text: DOI
Wang, Jixia; Zhao, Pan; Gao, Qinghui Portfolio selection problem with nonlinear wealth equations under non-extensive statistical mechanics for time-varying SDE. (English) Zbl 1442.91092 Comput. Math. Appl. 77, No. 2, 555-564 (2019). MSC: 91G10 60H10 93E20 PDFBibTeX XMLCite \textit{J. Wang} et al., Comput. Math. Appl. 77, No. 2, 555--564 (2019; Zbl 1442.91092) Full Text: DOI
Phan, Duy Nhat; Le Thi, Hoai An Group variable selection via \(\ell_{p,0}\) regularization and application to optimal scoring. (English) Zbl 1441.62073 Neural Netw. 118, 220-234 (2019). MSC: 62F07 93E20 62P10 PDFBibTeX XMLCite \textit{D. N. Phan} and \textit{H. A. Le Thi}, Neural Netw. 118, 220--234 (2019; Zbl 1441.62073) Full Text: DOI
Wei, Qingmeng; Yong, Jiongmin; Yu, Zhiyong Linear quadratic stochastic optimal control problems with operator coefficients: open-loop solutions. (English) Zbl 1441.93350 ESAIM, Control Optim. Calc. Var. 25, Paper No. 17, 38 p. (2019). MSC: 93E20 49N10 60H10 91G10 PDFBibTeX XMLCite \textit{Q. Wei} et al., ESAIM, Control Optim. Calc. Var. 25, Paper No. 17, 38 p. (2019; Zbl 1441.93350) Full Text: DOI arXiv
Liang, Xiyin; Pei, Yongzhen; Tan, Jianguo; Lv, Yunfei Optimal parameter selection problem of the state dependent impulsive differential equations. (English) Zbl 07177635 Nonlinear Anal., Hybrid Syst. 34, 238-247 (2019). MSC: 65-XX 93-XX PDFBibTeX XMLCite \textit{X. Liang} et al., Nonlinear Anal., Hybrid Syst. 34, 238--247 (2019; Zbl 07177635) Full Text: DOI
Sun, Zhongyang; Guo, Xianping Equilibrium for a time-inconsistent stochastic linear-quadratic control system with jumps and its application to the mean-variance problem. (English) Zbl 1410.91431 J. Optim. Theory Appl. 181, No. 2, 383-410 (2019). MSC: 91G10 91G80 93E20 60H10 49N10 PDFBibTeX XMLCite \textit{Z. Sun} and \textit{X. Guo}, J. Optim. Theory Appl. 181, No. 2, 383--410 (2019; Zbl 1410.91431) Full Text: DOI
Décamps, Jean-Paul; Villeneuve, Stéphane A two-dimensional control problem arising from dynamic contracting theory. (English) Zbl 1501.91176 Finance Stoch. 23, No. 1, 1-28 (2019). MSC: 91G50 91B43 91B41 93E20 PDFBibTeX XMLCite \textit{J.-P. Décamps} and \textit{S. Villeneuve}, Finance Stoch. 23, No. 1, 1--28 (2019; Zbl 1501.91176) Full Text: DOI Link
Aït-Sahalia, Yacine; Matthys, Felix Robust consumption and portfolio policies when asset prices can jump. (English) Zbl 1419.91574 J. Econ. Theory 179, 1-56 (2019). MSC: 91G10 60G51 60J75 93B35 PDFBibTeX XMLCite \textit{Y. Aït-Sahalia} and \textit{F. Matthys}, J. Econ. Theory 179, 1--56 (2019; Zbl 1419.91574) Full Text: DOI
Barbieri, Fabio; Costa, Oswaldo L. V. Optimal control with constrained total variance for Markov jump linear systems with multiplicative noises. (English) Zbl 1485.93623 Int. J. Syst. Sci., Princ. Appl. Syst. Integr. 49, No. 6, 1178-1187 (2018). Reviewer: Kurt Marti (München) MSC: 93E20 90C15 93C55 91G10 PDFBibTeX XMLCite \textit{F. Barbieri} and \textit{O. L. V. Costa}, Int. J. Syst. Sci., Princ. Appl. Syst. Integr. 49, No. 6, 1178--1187 (2018; Zbl 1485.93623) Full Text: DOI
Nystrup, Peter; Madsen, Henrik; Lindström, Erik Dynamic portfolio optimization across hidden market regimes. (English) Zbl 1471.91509 Quant. Finance 18, No. 1, 83-95 (2018). MSC: 91G10 93B45 93E20 PDFBibTeX XMLCite \textit{P. Nystrup} et al., Quant. Finance 18, No. 1, 83--95 (2018; Zbl 1471.91509) Full Text: DOI Link
Yang, Peng Time-consistent investment strategy selection under asset and liability management. (Chinese. English summary) Zbl 1424.91115 J. Chongqing Norm. Univ., Nat. Sci. 35, No. 4, 74-80 (2018). MSC: 91G10 93E20 90C39 PDFBibTeX XMLCite \textit{P. Yang}, J. Chongqing Norm. Univ., Nat. Sci. 35, No. 4, 74--80 (2018; Zbl 1424.91115) Full Text: DOI
Al-Aradi, Ali; Jaimungal, Sebastian Outperformance and tracking: dynamic asset allocation for active and passive portfolio management. (English) Zbl 1418.91445 Appl. Math. Finance 25, No. 3, 268-294 (2018). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{A. Al-Aradi} and \textit{S. Jaimungal}, Appl. Math. Finance 25, No. 3, 268--294 (2018; Zbl 1418.91445) Full Text: DOI arXiv
Zhuo, Yu Maximum principle of optimal stochastic control with terminal state constraint and its application in finance. (English) Zbl 1401.93235 J. Syst. Sci. Complex. 31, No. 4, 907-926 (2018). MSC: 93E20 91G80 91G10 49K45 PDFBibTeX XMLCite \textit{Y. Zhuo}, J. Syst. Sci. Complex. 31, No. 4, 907--926 (2018; Zbl 1401.93235) Full Text: DOI
Arapostathis, Ari; Biswas, Anup; Borkar, Vivek S. Controlled equilibrium selection in stochastically perturbed dynamics. (English) Zbl 1408.35232 Ann. Probab. 46, No. 5, 2749-2799 (2018). Reviewer: Alexander Yu. Veretennikov (Leeds) MSC: 35R60 93E20 PDFBibTeX XMLCite \textit{A. Arapostathis} et al., Ann. Probab. 46, No. 5, 2749--2799 (2018; Zbl 1408.35232) Full Text: DOI arXiv Euclid
Baturin, V. A.; Cheremnykh, S. V. Second order methods for the optimal control problems. (English. Russian original) Zbl 1433.49026 Autom. Remote Control 79, No. 5, 919-939 (2018); translation from Uprval. Bol’sh. Sist. 2016, No. 60, 6-40 (2016). Reviewer: Andreas Mang (Houston) MSC: 49K15 93C10 49M99 91B76 PDFBibTeX XMLCite \textit{V. A. Baturin} and \textit{S. V. Cheremnykh}, Autom. Remote Control 79, No. 5, 919--939 (2018; Zbl 1433.49026); translation from Uprval. Bol'sh. Sist. 2016, No. 60, 6--40 (2016) Full Text: DOI
Peng, Yijie; Chong, Edwin K. P.; Chen, Chun-Hung; Fu, Michael C. Ranking and selection as stochastic control. (English) Zbl 1423.93422 IEEE Trans. Autom. Control 63, No. 8, 2359-2373 (2018). MSC: 93E20 62F07 62F15 PDFBibTeX XMLCite \textit{Y. Peng} et al., IEEE Trans. Autom. Control 63, No. 8, 2359--2373 (2018; Zbl 1423.93422) Full Text: DOI arXiv
Cartea, Álvaro; Jaimungal, Sebastian; Ricci, Jason Algorithmic trading, stochastic control, and mutually exciting processes. (English) Zbl 1410.91411 SIAM Rev. 60, No. 3, 673-703 (2018). MSC: 91G10 93E20 91G80 PDFBibTeX XMLCite \textit{Á. Cartea} et al., SIAM Rev. 60, No. 3, 673--703 (2018; Zbl 1410.91411) Full Text: DOI
Li, Guoqi; Tang, Pei; Wen, Changyun; Huang, Jiangshuai; Ma, Cheng Key-nodes selection problem for minimum cost control of directed networks. (English) Zbl 1390.93149 Optim. Control Appl. Methods 39, No. 1, 95-113 (2018). MSC: 93B05 49N10 93C15 PDFBibTeX XMLCite \textit{G. Li} et al., Optim. Control Appl. Methods 39, No. 1, 95--113 (2018; Zbl 1390.93149) Full Text: DOI
Shim, Gyoocheol; Koo, Jung Lim; Shin, Yong Hyun Reversible job-switching opportunities and portfolio selection. (English) Zbl 1390.91287 Appl. Math. Optim. 77, No. 2, 197-228 (2018). MSC: 91G10 60H30 93E20 PDFBibTeX XMLCite \textit{G. Shim} et al., Appl. Math. Optim. 77, No. 2, 197--228 (2018; Zbl 1390.91287) Full Text: DOI
Kratz, Peter; Schöneborn, Torsten Optimal liquidation and adverse selection in dark pools. (English) Zbl 1403.91314 Math. Finance 28, No. 1, 177-210 (2018). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{P. Kratz} and \textit{T. Schöneborn}, Math. Finance 28, No. 1, 177--210 (2018; Zbl 1403.91314) Full Text: DOI
Hong, Yi; Jin, Xing Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix. (English) Zbl 1376.91146 Eur. J. Oper. Res. 265, No. 1, 389-398 (2018). MSC: 91G10 60J75 93E20 PDFBibTeX XMLCite \textit{Y. Hong} and \textit{X. Jin}, Eur. J. Oper. Res. 265, No. 1, 389--398 (2018; Zbl 1376.91146) Full Text: DOI Link
Cartea, Álvaro; Donnelly, Ryan; Jaimungal, Sebastian Algorithmic trading with model uncertainty. (English) Zbl 1407.91287 SIAM J. Financ. Math. 8, 635-671 (2017). MSC: 91G80 93E20 49K45 90C39 PDFBibTeX XMLCite \textit{Á. Cartea} et al., SIAM J. Financ. Math. 8, 635--671 (2017; Zbl 1407.91287) Full Text: DOI
Palamarchuk, E. S. Stochastic optimality in the portfolio tracking problem involving investor’s temporal preferences. (English. Russian original) Zbl 1377.93179 Autom. Remote Control 78, No. 8, 1523-1536 (2017); translation from Upr. Bol’sh. Sist. 2015, No. 56, 123-142 (2015). MSC: 93E20 91G10 91G80 PDFBibTeX XMLCite \textit{E. S. Palamarchuk}, Autom. Remote Control 78, No. 8, 1523--1536 (2017; Zbl 1377.93179); translation from Upr. Bol'sh. Sist. 2015, No. 56, 123--142 (2015) Full Text: DOI
Lee, Ho-Seok; Koo, Byung Lim; Shin, Yong Hyun A dynamic programming approach to a consumption/investment and retirement choice problem under borrowing constraints. (English) Zbl 1386.91128 Japan J. Ind. Appl. Math. 34, No. 3, 793-809 (2017). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{H.-S. Lee} et al., Japan J. Ind. Appl. Math. 34, No. 3, 793--809 (2017; Zbl 1386.91128) Full Text: DOI
Xiao, Hui; Gao, Siyang; Lee, Loo Hay Simulation budget allocation for simultaneously selecting the best and worst subsets. (English) Zbl 1376.93072 Automatica 84, 117-127 (2017). MSC: 93C65 93E20 PDFBibTeX XMLCite \textit{H. Xiao} et al., Automatica 84, 117--127 (2017; Zbl 1376.93072) Full Text: DOI
Yan, Wei Closed-form optimal strategies of continuous-time options with stochastic differential equations. (English) Zbl 1373.93388 Complexity 2017, Article ID 8734235, 11 p. (2017). MSC: 93E20 91G10 60H10 49L20 PDFBibTeX XMLCite \textit{W. Yan}, Complexity 2017, Article ID 8734235, 11 p. (2017; Zbl 1373.93388) Full Text: DOI
Gao, Siyang; Xiao, Hui; Zhou, Enlu; Chen, Weiwei Robust ranking and selection with optimal computing budget allocation. (English) Zbl 1372.93217 Automatica 81, 30-36 (2017). MSC: 93E20 93E03 93A30 93B35 PDFBibTeX XMLCite \textit{S. Gao} et al., Automatica 81, 30--36 (2017; Zbl 1372.93217) Full Text: DOI
Ji, Shaolin; Shi, Xiaomin Explicit solutions for continuous time mean-variance portfolio selection with nonlinear wealth equations. (English) Zbl 1370.93318 Syst. Control Lett. 104, 1-4 (2017). MSC: 93E20 91G10 49L20 49L25 93C10 PDFBibTeX XMLCite \textit{S. Ji} and \textit{X. Shi}, Syst. Control Lett. 104, 1--4 (2017; Zbl 1370.93318) Full Text: DOI arXiv
Wong, K. C.; Yam, S. C. P.; Zheng, H. Utility-deviation-risk portfolio selection. (English) Zbl 1366.91147 SIAM J. Control Optim. 55, No. 3, 1819-1861 (2017). MSC: 91G10 91G70 93E20 PDFBibTeX XMLCite \textit{K. C. Wong} et al., SIAM J. Control Optim. 55, No. 3, 1819--1861 (2017; Zbl 1366.91147) Full Text: DOI Link
Hu, Ying; Jin, Hanqing; Zhou, Xun Yu Time-inconsistent stochastic linear-quadratic control: characterization and uniqueness of equilibrium. (English) Zbl 1414.91340 SIAM J. Control Optim. 55, No. 2, 1261-1279 (2017). MSC: 91G10 60H10 93E20 91G80 PDFBibTeX XMLCite \textit{Y. Hu} et al., SIAM J. Control Optim. 55, No. 2, 1261--1279 (2017; Zbl 1414.91340) Full Text: DOI arXiv
Zhang, Haotian; Ayoub, Raid; Sundaram, Shreyas Sensor selection for Kalman filtering of linear dynamical systems: complexity, limitations and greedy algorithms. (English) Zbl 1357.93100 Automatica 78, 202-210 (2017). MSC: 93E11 93E10 93E20 90C60 PDFBibTeX XMLCite \textit{H. Zhang} et al., Automatica 78, 202--210 (2017; Zbl 1357.93100) Full Text: DOI
Backhoff, J.; Silva, F. J. Sensitivity results in stochastic optimal control: a Lagrangian perspective. (English) Zbl 1354.93171 ESAIM, Control Optim. Calc. Var. 23, No. 1, 39-70 (2017). MSC: 93E20 49Q12 47J30 49N10 49K45 91G10 PDFBibTeX XMLCite \textit{J. Backhoff} and \textit{F. J. Silva}, ESAIM, Control Optim. Calc. Var. 23, No. 1, 39--70 (2017; Zbl 1354.93171) Full Text: DOI
de Kort, J.; Vellekoop, M. H. Existence of optimal consumption strategies in markets with longevity risk. (English) Zbl 1394.91246 Insur. Math. Econ. 72, 107-121 (2017). MSC: 91B30 91G10 93E20 PDFBibTeX XMLCite \textit{J. de Kort} and \textit{M. H. Vellekoop}, Insur. Math. Econ. 72, 107--121 (2017; Zbl 1394.91246) Full Text: DOI
Pham, Huyên; Wei, Xiaoli Discrete time McKean-Vlasov control problem: a dynamic programming approach. (English) Zbl 1360.49018 Appl. Math. Optim. 74, No. 3, 487-506 (2016). MSC: 49L20 60K35 93E20 90C39 PDFBibTeX XMLCite \textit{H. Pham} and \textit{X. Wei}, Appl. Math. Optim. 74, No. 3, 487--506 (2016; Zbl 1360.49018) Full Text: DOI arXiv
Yang, Wen; Wang, Zidong; Zuo, Zongyu; Yang, Chao; Shi, Hongbo Nodes selection strategy in cooperative tracking problem. (English) Zbl 1348.93022 Automatica 74, 118-125 (2016). MSC: 93A14 91D30 93B40 90C25 49N90 PDFBibTeX XMLCite \textit{W. Yang} et al., Automatica 74, 118--125 (2016; Zbl 1348.93022) Full Text: DOI Link
Kafash, Behzad; Delavarkhalafi, Ali; Karbassi, Seyed Mehdi A computational method for stochastic optimal control problems in financial mathematics. (English) Zbl 1346.93399 Asian J. Control 18, No. 4, 1501-1512 (2016). MSC: 93E20 47N70 91G10 60H10 93B50 PDFBibTeX XMLCite \textit{B. Kafash} et al., Asian J. Control 18, No. 4, 1501--1512 (2016; Zbl 1346.93399) Full Text: DOI
Cartea, Álvaro; Jaimungal, Sebastian; Kinzebulatov, Damir Algorithmic trading with learning. (English) Zbl 1396.91720 Int. J. Theor. Appl. Finance 19, No. 4, Article ID 1650028, 30 p. (2016). MSC: 91G20 93E20 PDFBibTeX XMLCite \textit{Á. Cartea} et al., Int. J. Theor. Appl. Finance 19, No. 4, Article ID 1650028, 30 p. (2016; Zbl 1396.91720) Full Text: DOI
Mousa, A. S.; Pinheiro, D.; Pinto, A. A. Optimal life-insurance selection and purchase within a market of several life-insurance providers. (English) Zbl 1348.62242 Insur. Math. Econ. 67, 133-141 (2016). MSC: 62P05 91B30 93E20 91G10 PDFBibTeX XMLCite \textit{A. S. Mousa} et al., Insur. Math. Econ. 67, 133--141 (2016; Zbl 1348.62242) Full Text: DOI Link
Zhang, Qiang; Ge, Lei Optimal strategies for asset allocation and consumption under stochastic volatility. (English) Zbl 1335.91075 Appl. Math. Lett. 58, 69-73 (2016). MSC: 91G10 93E20 91G60 PDFBibTeX XMLCite \textit{Q. Zhang} and \textit{L. Ge}, Appl. Math. Lett. 58, 69--73 (2016; Zbl 1335.91075) Full Text: DOI
Fu, Yelin; Lai, Kin Keung; Liang, Liang A robust optimisation approach to the problem of supplier selection and allocation in outsourcing. (English) Zbl 1333.93258 Int. J. Syst. Sci., Princ. Appl. Syst. Integr. 47, No. 4, 913-918 (2016). MSC: 93E20 90C15 93A30 93C95 PDFBibTeX XMLCite \textit{Y. Fu} et al., Int. J. Syst. Sci., Princ. Appl. Syst. Integr. 47, No. 4, 913--918 (2016; Zbl 1333.93258) Full Text: DOI
Hui, Eddie C. M.; Wang, Guangchen A new optimal portfolio selection model with owner-occupied housing. (English) Zbl 1410.91418 Appl. Math. Comput. 270, 714-723 (2015). MSC: 91G10 49N10 93E20 PDFBibTeX XMLCite \textit{E. C. M. Hui} and \textit{G. Wang}, Appl. Math. Comput. 270, 714--723 (2015; Zbl 1410.91418) Full Text: DOI
Zhou, Ming; Yuen, Kam C. Portfolio selection by minimizing the present value of capital injection costs. (English) Zbl 1390.91291 ASTIN Bull. 45, No. 1, 207-238 (2015). MSC: 91G10 91B30 93E20 PDFBibTeX XMLCite \textit{M. Zhou} and \textit{K. C. Yuen}, ASTIN Bull. 45, No. 1, 207--238 (2015; Zbl 1390.91291) Full Text: DOI
Shen, Yang Mean-variance portfolio selection in a complete market with unbounded random coefficients. (English) Zbl 1377.93180 Automatica 55, 165-175 (2015). MSC: 93E20 60H10 91G10 49N10 PDFBibTeX XMLCite \textit{Y. Shen}, Automatica 55, 165--175 (2015; Zbl 1377.93180) Full Text: DOI
Gao, Siyang; Chen, Weiwei Efficient subset selection for the expected opportunity cost. (English) Zbl 1326.93083 Automatica 59, 19-26 (2015). MSC: 93C65 49K10 90C25 PDFBibTeX XMLCite \textit{S. Gao} and \textit{W. Chen}, Automatica 59, 19--26 (2015; Zbl 1326.93083) Full Text: DOI
Harrison, J. Michael; Sunar, Nur Investment timing with incomplete information and multiple means of learning. (English) Zbl 1372.91041 Oper. Res. 63, No. 2, 442-457 (2015). MSC: 91B24 60G40 93E20 PDFBibTeX XMLCite \textit{J. M. Harrison} and \textit{N. Sunar}, Oper. Res. 63, No. 2, 442--457 (2015; Zbl 1372.91041) Full Text: DOI
Chen, Si; Reyes, Kristofer-Roy G.; Gupta, Maneesh K.; McAlpine, Michael C.; Powell, Warren B. Optimal learning in experimental design using the knowledge gradient policy with application to characterizing nanoemulsion stability. (English) Zbl 1327.62098 SIAM/ASA J. Uncertain. Quantif. 3, 320-345 (2015). MSC: 62F07 62F15 62K05 49M25 62L05 93E35 PDFBibTeX XMLCite \textit{S. Chen} et al., SIAM/ASA J. Uncertain. Quantif. 3, 320--345 (2015; Zbl 1327.62098) Full Text: DOI Link
Fodra, Pietro; Pham, Huyên High frequency trading and asymptotics for small risk aversion in a Markov renewal model. (English) Zbl 1336.60172 SIAM J. Financ. Math. 6, 656-684 (2015). MSC: 60K15 60J75 91G80 93E20 49J55 45J05 PDFBibTeX XMLCite \textit{P. Fodra} and \textit{H. Pham}, SIAM J. Financ. Math. 6, 656--684 (2015; Zbl 1336.60172) Full Text: DOI arXiv
Gao, Jianjun; Li, Duan; Cui, Xiangyu; Wang, Shouyang Time cardinality constrained mean-variance dynamic portfolio selection and market timing: a stochastic control approach. (English) Zbl 1318.93101 Automatica 54, 91-99 (2015). MSC: 93E20 91G10 93A30 PDFBibTeX XMLCite \textit{J. Gao} et al., Automatica 54, 91--99 (2015; Zbl 1318.93101) Full Text: DOI
Jin, Hanqing; Zhou, Xun Yu Continuous-time portfolio selection under ambiguity. (English) Zbl 1336.91066 Math. Control Relat. Fields 5, No. 3, 475-488 (2015). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{H. Jin} and \textit{X. Y. Zhou}, Math. Control Relat. Fields 5, No. 3, 475--488 (2015; Zbl 1336.91066) Full Text: DOI
Hafayed, Mokhtar; Tabet, Moufida; Boukaf, Samira Mean-field maximum principle for optimal control of forward-backward stochastic systems with jumps and its application to mean-variance portfolio problem. (English) Zbl 1317.93270 Commun. Math. Stat. 3, No. 2, 163-186 (2015). MSC: 93E20 60H10 49K45 60H30 PDFBibTeX XMLCite \textit{M. Hafayed} et al., Commun. Math. Stat. 3, No. 2, 163--186 (2015; Zbl 1317.93270) Full Text: DOI
Cartea, Álvaro; Jaimungal, Sebastian Risk metrics and fine tuning of high-frequency trading strategies. (English) Zbl 1331.91158 Math. Finance 25, No. 3, 576-611 (2015). MSC: 91G10 91B24 91B30 91G99 93E20 PDFBibTeX XMLCite \textit{Á. Cartea} and \textit{S. Jaimungal}, Math. Finance 25, No. 3, 576--611 (2015; Zbl 1331.91158) Full Text: DOI
Al Helal, Zahra; Rehbock, Volker; Loxton, Ryan Modelling and optimal control of blood glucose levels in the human body. (English) Zbl 1319.49060 J. Ind. Manag. Optim. 11, No. 4, 1149-1164 (2015). MSC: 49N90 49M37 92C50 92C45 93A30 PDFBibTeX XMLCite \textit{Z. Al Helal} et al., J. Ind. Manag. Optim. 11, No. 4, 1149--1164 (2015; Zbl 1319.49060) Full Text: DOI