Continuous-time stochastic control and optimization with financial applications / Huyen Pham

By Huyen Pham. 2009

1,131 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/0dbd24d6ae6fd42b0496db18ed1035c0b9cdec26

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Citations in the corpus

PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS (2017, methodology): “For a general reference on the extensive literature on the Merton problem under various market frictions, particularly by dynamic programming methods, we refer to the recent book by Pham (2009).”
Probabilistic Analysis of Mean-Field Games (2012, neutral): “6 in Pham [24] gives”
Capacities, Measurable Selection and Dynamic Programming Part II: Application in Stochastic Control Problems (2013, background): “…most of the literature has been focused on the diﬀusion processes case due to its complexity and its importance in applications, see e.g. Krylov [30], Fleming and Soner [23], Borkar [4], Yong and Zhou [46], Pham [37], Touzi [43], El Karoui et al. [12] and also the survey paper of Borkar [5], etc.”
Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB) (2012, neutral): “A survey of numerical21 methods for stochastic control is given in Kushner (2001) and Pham (2009).”
Mean field and n‐agent games for optimal investment under relative performance criteria (2017, methodology): “Using the explicit form (14) and the admissibility of this candidate control, we can establish a verification theorem following well-known arguments in stochastic optimization (Fleming & Soner, 2006; Pham, 2009; Touzi, 2012).”
Optimal Reinsurance and Investment for a Jump Diffusion Risk Process under the CEV Model (2011, methodology): “According to Theorem 3.3.1 of Pham (2009), we have H(t, s, x) sup E[H( , S( ), R( , )], (A.1) for any stopping time t,T, where t,T is denoted by the set of stopping time valued in [t, T].”
Model-based pairs trading in the bitcoin markets (2017, methodology): “Besides, we refer to the books by Fleming and Soner (1993) and Pham (2009) for an introduction to stochastic control and its applications in Finance.”
Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management (2010, background): “ Hamilton-Jacobi-Bellman Partial Diﬀerential Equations (PDEs) and Backward Stochastic Diﬀerential Equations (BSDEs) to convex martingale duality methods. We refer to the monographs [7], [26], [18] or [19] for recent updates on this subject. In particular, the theory of BSDEs has emerged as a major r”
Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management in insurance and finance (2010, background): “H. Pham (2009), Continuous-Time Stochastic Control and Optimization with Financial Applications, Springer.”