Volume 179, Issue 2

Search all Journal of Optimization Theory and Applications articles

November 2018

Special Issue on Optimization and Stochastic Control in Finance

Issue Editors:

Bruno Bouchard,
Halil Mete Soner,
Nizar Touzi

15 articles in this issue

Special Issue: Optimization and Stochastic Control in Finance, Journal of Optimization Theory and Applications
Bruno Bouchard
H. Mete Soner
Nizar Touzi
Preface 11 October 2018 Pages: 363 - 365
Systemic Risk and Stochastic Games with Delay
René Carmona
Jean-Pierre Fouque
Li-Hsien Sun
S.I. : Optimization and Stochastic Control in Finance 26 March 2018 Pages: 366 - 399
Systemic Risk and Interbank Lending
Li-Hsien Sun
OriginalPaper 02 November 2017 Pages: 400 - 424
Variational Formulation of a General Equilibrium Model with Incomplete Financial Markets and Numeraire Assets: Existence
Maria Bernadette Donato
Monica Milasi
Antonio Villanacci
OriginalPaper 10 September 2018 Pages: 425 - 451
Moral Hazard Under Ambiguity
Thibaut Mastrolia
Dylan Possamaï
OriginalPaper 06 February 2018 Pages: 452 - 500
Necessary and Sufficient Optimality Conditions for Regular–Singular Stochastic Differential Games with Asymmetric Information
Yan Wang
Lei Wang
Kok Lay Teo
OriginalPaper 23 February 2018 Pages: 501 - 532
On the Optimal Dividend Problem in the Dual Model with Surplus-Dependent Premiums
Ewa Marciniak
Zbigniew Palmowski
OriginalPaper 09 January 2017 Pages: 533 - 552
On the Bail-Out Optimal Dividend Problem
José-Luis Pérez
Kazutoshi Yamazaki
Xiang Yu
OriginalPaper 23 June 2018 Pages: 553 - 568
Some Results on Skorokhod Embedding and Robust Hedging with Local Time
Julien Claisse
Gaoyue Guo
Pierre Henry-Labordère
OriginalPaper 28 November 2017 Pages: 569 - 597
Pricing Bounds for Volatility Derivatives via Duality and Least Squares Monte Carlo
Ivan Guo
Gregoire Loeper
OriginalPaper 15 September 2017 Pages: 598 - 617
Rebalancing Multiple Assets with Mutual Price Impact
Paolo Guasoni
Marko H. Weber
OriginalPaper 09 August 2018 Pages: 618 - 653
An Optimal Strategy for Pairs Trading Under Geometric Brownian Motions
Jingzhi Tie
Hanqin Zhang
Qing Zhang
OriginalPaper 30 January 2017 Pages: 654 - 675
Stochastic Accelerated Alternating Direction Method of Multipliers with Importance Sampling
Chenxi Chen
Yunmei Chen
Eduardo Pasiliao
OriginalPaper 04 April 2018 Pages: 676 - 695
A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance
Emel Savku
Gerhard-Wilhelm Weber
OriginalPaper 25 August 2017 Pages: 696 - 721
An Indefinite Stochastic Linear Quadratic Optimal Control Problem with Delay and Related Forward–Backward Stochastic Differential Equations
Na Li
Yuan Wang
Zhen Wu
OriginalPaper 14 February 2018 Pages: 722 - 744

Volume 179, Issue 2

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