Stochastics: An International Journal of Probability and Stochastic Processes

Michael I. Taksar
pp. 559-574(16)
Authors: Bensoussan, Alain; Evstigneev, Igor V.; Steffensen, Mogens

Portfolio size as function of the premium: modelling and optimization
pp. 575-588(14)
Authors: Asmussen, Søren; Christensen, Bent Jesper; Taksar, Michael

Optimal inventory control with shrinkage and observed sales
pp. 589-603(15)
Authors: Bensoussan, Alain; Çakanyıldırım, Metin; Li, Meng; Sethi, Suresh P.

Mean–semivariance portfolio selection under probability distortion
pp. 604-619(16)
Authors: Bi, J.; Zhong, Y.; Zhou, X. Y.

Deterministic mean-variance-optimal consumption and investment
pp. 620-636(17)
Authors: Christiansen, Marcus; Steffensen, Mogens

Solving a Hamilton–Jacobi–Bellman equation with constraints
pp. 637-651(15)
Authors: Edalati, Alireza; Hipp, Christian

Controlled random fields, von Neumann–Gale dynamics and multimarket hedging with risk
pp. 652-666(15)
Authors: Evstigneev, I. V.; Zhitlukhin, M. V.

Hedging of game options in discrete markets with transaction costs
pp. 667-681(15)
Author: Kifer, Yuri

Singular ergodic control for multidimensional Gaussian–Poisson processes
pp. 682-691(10)
Authors: Menaldi, J. L.; Robin, M.

Utility maximization in an illiquid market
pp. 692-706(15)
Authors: Mete Soner, H.; Vukelja, M.

Stochastic impulse control with regime switching for the optimal dividend policy when there are business cycles, taxes and fixed costs
pp. 707-722(16)
Authors: Sotomayor, Luz R.; Cadenillas, Abel

Near-optimal mean–variance controls under two-time-scale formulations and applications
pp. 723-741(19)
Authors: Yang, Zhixin; Yin, George; Wang, Le Yi; Zhang, Hongwei