| 1 |
Small-Time Asymptotics for Gaussian Self-Similar Stochastic Volatility Models
Gulisashvili A, Viens F, Zhang X
Applied Mathematics and Optimization, 82(1), 183, 2020 |
| 2 |
Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility
Yan TJ, Wong HY
Automatica, 107, 211, 2019 |
| 3 |
The impact of energy price uncertainty on macroeconomic variables
Punzi MT
Energy Policy, 129, 1306, 2019 |
| 4 |
OPTIMAL INVESTMENT WITH TRANSACTION COSTS AND STOCHASTIC VOLATILITY PART II: FINITE HORIZON
Bichuch M, Sircar R
SIAM Journal on Control and Optimization, 57(1), 437, 2019 |
| 5 |
Fast Filtering in Switching Approximations of Nonlinear Markov Systems With Applications to Stochastic Volatility
Gorynin I, Derrode S, Monfrini E, Pieczynski W
IEEE Transactions on Automatic Control, 62(2), 853, 2017 |
| 6 |
ASYMPTOTIC OPTIMAL STRATEGY FOR PORTFOLIO OPTIMIZATION IN A SLOWLY VARYING STOCHASTIC ENVIRONMENT
Fouque JP, Hu RM
SIAM Journal on Control and Optimization, 55(3), 1990, 2017 |
| 7 |
OPTIMAL INVESTMENT WITH TRANSACTION COSTS AND STOCHASTIC VOLATILITY PART I: INFINITE HORIZON
Bichuch M, Sircar R
SIAM Journal on Control and Optimization, 55(6), 3799, 2017 |
| 8 |
PORTFOLIO OPTIMIZATION WITH AMBIGUOUS CORRELATION AND STOCHASTIC VOLATILITIES
Fouque JP, Pun CS, Wong HY
SIAM Journal on Control and Optimization, 54(5), 2309, 2016 |
| 9 |
Conditional Gauss-Hermite Filtering With Application to Volatility Estimation
Singer H
IEEE Transactions on Automatic Control, 60(9), 2476, 2015 |
| 10 |
Optimal Stopping of Partially Observable Markov Processes: A Filtering-Based Duality Approach
Ye F, Zhou EL
IEEE Transactions on Automatic Control, 58(10), 2698, 2013 |
