Optimal mean–variance investment and reinsurance problem for an insurer with stochastic volatility

JOURNAL ARTICLE published August 2018 in Mathematical Methods of Operations Research

Research funded by National Natural Science Foundation of China (11571189,11701087) | China Postdoctoral Science Foundation (2017M612787)

Authors: Zhongyang Sun | Junyi Guo

Double optimal stopping times and dynamic pricing problem: description of the mathematical model

JOURNAL ARTICLE published 24 September 2007 in Mathematical Methods of Operations Research

Authors: Anna Karpowicz | Krzysztof Szajowski

Multicriteria impulsive control of jump Markov processes

JOURNAL ARTICLE published September 2004 in Mathematical Methods of Operational Research

Authors: A. B. Piunovskiy

Generalized average shadow prices and bottlenecks

JOURNAL ARTICLE published August 2018 in Mathematical Methods of Operations Research

Authors: Alejandro Crema

Conditions for the uniqueness of optimal policies of discounted Markov decision processes

JOURNAL ARTICLE published December 2004 in Mathematical Methods of Operational Research

Authors: Daniel Cruz-Su�rez | Ra�l Montes-de-Oca | Francisco Salem-Silva

Average cost Markov control processes with weighted norms: existence of canonical policies

JOURNAL ARTICLE published 1995 in Applicationes Mathematicae

Authors: Evgueni Gordienko | Onésimo Hernández-Lerma

Conditional Markov equilibria in discounted dynamic games

JOURNAL ARTICLE published August 2013 in Mathematical Methods of Operations Research

Authors: Mitri Kitti

The stochastic shortest-path problem for Markov chains with infinite state space with applications to nearest-neighbor lattice chains

JOURNAL ARTICLE published April 2013 in Mathematical Methods of Operations Research

Authors: Daniel Lücking | Wolfgang Stadje

Partially observed optimal stopping problem for discrete-time Markov processes

JOURNAL ARTICLE published September 2017 in 4OR

Authors: Benoîte de Saporta | François Dufour | Christophe Nivot

An axiomatic approach to Markov decision processes

JOURNAL ARTICLE published February 2023 in Mathematical Methods of Operations Research

Authors: Adam Jonsson

Average optimality in a Poissonian bandit with switching arms

JOURNAL ARTICLE published June 1997 in Mathematical Methods of Operations Research

Authors: Doncho S. Donchev | Alexander A. Yushkevich

Stochastic differential games for optimal investment problems in a Markov regime-switching jump-diffusion market

JOURNAL ARTICLE published May 2022 in Annals of Operations Research

Authors: E. Savku | G.-W Weber

An optimal stopping approach for the end-of-life inventory problem

JOURNAL ARTICLE published December 2019 in Mathematical Methods of Operations Research

Authors: J. B. G. Frenk | Sonya Javadi | Semih O. Sezer

Robust optimal investment and reinsurance problem for a general insurance company under Heston model

JOURNAL ARTICLE published April 2017 in Mathematical Methods of Operations Research

Research funded by National Natural Science Foundation of China (CN) (11171101)

Authors: Ya Huang | Xiangqun Yang | Jieming Zhou

Markov decision processes under observability constraints

JOURNAL ARTICLE published June 2005 in Mathematical Methods of Operations Research

Authors: Yasemin Serin | Vidyadhar Kulkarni

Randomized stopping games and Markov market games

JOURNAL ARTICLE published 21 November 2007 in Mathematical Methods of Operations Research

Authors: Elżbieta Z. Ferenstein

Optimal investments for the standard maximization problem with non-concave utility function in complete market model

JOURNAL ARTICLE published February 2022 in Mathematical Methods of Operations Research

Authors: Olena Bahchedjioglou | Georgiy Shevchenko

Mean–variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics

JOURNAL ARTICLE published August 2017 in Mathematical Methods of Operations Research

Authors: Arti Singh | Dharmaraja Selvamuthu

Markov Chain Monte Carlo Methods and the Label Switching Problem in Bayesian Mixture Modeling

JOURNAL ARTICLE published 1 February 2005 in Statistical Science

Authors: A. Jasra | C. C. Holmes | D. A. Stephens

On mean reward variance in semi-Markov processes

JOURNAL ARTICLE published December 2005 in Mathematical Methods of Operations Research

Authors: Karel Sladký