67 results on '"60G40"'
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2. Irreversible reinsurance: minimization of capital injections in presence of a fixed cost
3. On the value of a time-inconsistent mean-field zero-sum Dynkin game
4. Deep neural network expressivity for optimal stopping problems
5. Barrier Option Pricing in Regime Switching Models with Rebates
6. Optimal Timing of Business Conversion for Solvency Improvement
7. Mathematical Intuition, Deep Learning, and Robbins’ Problem
8. Optimal reinsurance via BSDEs in a partially observable model with jump clusters
9. Zero-Sum Continuous-Time Markov Games with One-Side Stopping
10. The Generalized Stackelberg Equilibrium of the Two-Person Stopping Game
11. Markov risk mappings and risk-sensitive optimal prediction
12. Speculative trading, prospect theory and transaction costs
13. Semimartingale price systems in models with transaction costs beyond efficient friction
14. Solving optimal stopping problems under model uncertainty via empirical dual optimisation
15. An analytical study of participating policies with minimum rate guarantee and surrender option
16. Prophet secretary through blind strategies
17. A free boundary characterisation of the Root barrier for Markov processes
18. The Convergence Rate from Discrete to Continuous Optimal Investment Stopping Problem
19. Modelling Information Flows in Financial Markets
20. Optimal Liquidation of a Pairs Trade
21. On the Linear and Nonlinear Generalized Bayesian Disorder Problem (Discrete Time Case)
22. The Optimal Time to Exchange one Asset for Another on Finite Interval
23. The optimal stopping problem revisited
24. The Leland–Toft optimal capital structure model under Poisson observations
25. Optimal reduction of public debt under partial observation of the economic growth
26. Existence and Uniqueness of Viscosity Solutions for Nonlinear Variational Inequalities Associated with Mixed Control
27. Rationalization of detection of the multiple disorders
28. Partial liquidation under reference-dependent preferences
29. A balance sheet optimal multi-modes switching problem
30. Optimal dividends with partial information and stopping of a degenerate reflecting diffusion
31. A chain binomial epidemic with asymptomatics motivated by COVID-19 modelling
32. On Wald’s equation. Discrete time case
33. Full-information best choice game with hint
34. Robust bounds for the American put
35. The Root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach
36. On the free boundary of an annuity purchase
37. Minimax theorems for American options without time-consistency
38. A two-dimensional control problem arising from dynamic contracting theory
39. Analysis of the finiteness for the first collision time between two randomly moving particles
40. Entry-Exit Decisions with Implementation Delay Under Uncertainty
41. Valuation of an R&D project with three types of uncertainty
42. Semi-analytical Formula for Pricing Bilateral Counterparty Risk of CDS with Correlated Credit Risks
43. Martingale problem under nonlinear expectations
44. Time-consistent stopping under decreasing impatience
45. A direct solution method for pricing options involving the maximum process
46. Partially observed optimal stopping problem for discrete-time Markov processes
47. Timing in the presence of directional predictability: optimal stopping of skew Brownian motion
48. The role of measurability in game-theoretic probability
49. Iterated full information secretary problem
50. Optimal entry to an irreversible investment plan with non convex costs
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