화학공학소재연구정보센터

IEEE Transactions on Automatic Control

IEEE Transactions on Automatic Control, Vol.49, No.3 Entire volume, number list
ISSN: 0018-9286 (Print) 

In this Issue (14 articles)

321 - 323 Special issue on stochastic control methods in financial engineering
Pasik-Duncan B, Elliott R, Davis M
326 - 337 Optimal portfolio and consumption policies subject to Rishel's important jump events model: Computational methods
Hanson FB, Westman JJ
338 - 348 Estimating stochastic volatility via filtering for the micromovement of asset prices
Zeng Y
349 - 360 Markowitz's mean-variance portfolio selection with regime switching: From discrete-time models to their continuous-time limits
Yin G, Zhou XY
361 - 373 Modeling of the defaultable term structure: Conditionally Markov approach
Bielecki TR, Rutkowski M
374 - 385 Valuation of American options via basis functions
Lai TL, Wong SPS
386 - 395 Pathwise optimality for benchmark tracking
Pra PD, Runggaldier WJ, Tolotti M
396 - 408 Mean-variance hedging and stochastic control: Beyond the Brownian setting
Bobrovnytska O, Schweizer M
409 - 419 Stochastic target hitting time and the problem of early retirement
Boda K, Filar JA, Lin YL, Spanjers L
420 - 432 Risk-sensitive ICAPM with application to fixed-income management
Bielecki TR, Pliska SR
433 - 441 Remarks on the pricing of contingent claims under constraints
Bensoussan A
442 - 447 Portfolio optimization with Markov-modulated stock prices and interest rates
Bauerle N, Rieder U
447 - 457 Risk control over bankruptcy in dynamic portfolio selection: A generalized mean-variance formulation
Zhu SS, Li D, Wang SY
457 - 464 Risk-sensitive portfolio optimization with completely and partially observed factors
Stettner L