Stochastic variational inequalities and optimal stopping: applications to the robustness of the portfolio/consumption processes

Author： Danelia Akaki Dochviri Besarion Shashiashvili* Malkhaz

Publisher： Taylor & Francis Ltd

ISSN： 1045-1129

Source： Stochastics and Stochastics Reports, Vol.75, Iss.6, 2003-12, pp. : 407-423

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Maximum Principle for a Stochastic Optimal Control Problem and Application to Portfolio/Consumption Choice

By Xu W.S.

Journal of Optimization Theory and Applications, Vol. 98, Iss. 3, 1998-09 ,pp. : 719-731

Springer Publishing Company

Access to resources Recommend Favorite

Variational Inequalities in Hilbert Spaces with Measures and Optimal Stopping Problems

By Barbu Viorel Marinelli Carlo

Applied Mathematics and Optimization, Vol. 57, Iss. 2, 2008-04 ,pp. : 237-262

Springer Publishing Company

Access to resources Recommend Favorite

Linear programming approach to the optimal stopping of singular stochastic processes

By Helmes K. Stockbridge R. H.

Stochastics: An International Journal of Probability and Stochastic Processes, Vol. 79, Iss. 3-4, 2007-06 ,pp. : 309-335

Taylor & Francis Ltd

Access to resources Recommend Favorite

Lexicographic variational inequalities with applications

By Bianchi M.

Optimization, Vol. 56, Iss. 3, 2007-06 ,pp. : 355-367

Taylor & Francis Ltd

Access to resources Recommend Favorite

Optimal stopping of Hunt and Lévy processes

By Mordecki Ernesto Salminen Paavo

Stochastics: An International Journal of Probability and Stochastic Processes, Vol. 79, Iss. 3-4, 2007-06 ,pp. : 233-251

Taylor & Francis Ltd

Access to resources Recommend Favorite