Stochastics, Volume 85, Issue 4 (2013)

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Stochastics, Volume 85, Issue 4 (2013)

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Taksar Memorial Issue

Preface

Michael I. Taksar
Alain Bensoussan, Igor V. Evstigneev & Mogens Steffensen
Pages: 559-574
Published online: 09 Aug 2013
First Page PreviewforMichael I. Taksar | Full Text | PDF (131.8 KB)
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Original Articles

Article
Portfolio size as function of the premium: modelling and optimization
Søren Asmussen, Bent Jesper Christensen & Michael Taksar
Pages: 575-588
Published online: 03 Jun 2013
AbstractforPortfolio size as function of the premium: modelling and optimization | Full Text | References | PDF (136.3 KB)
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Article
Optimal inventory control with shrinkage and observed sales
Alain Bensoussan, Metin Çakanyıldırım, Meng Li & Suresh P. Sethi
Pages: 589-603
Published online: 29 Jul 2013
AbstractforOptimal inventory control with shrinkage and observed sales | Full Text | References | PDF (148 KB)
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Article
Mean–semivariance portfolio selection under probability distortion
J. Bi, Y. Zhong & X. Y. Zhou
Pages: 604-619
Published online: 30 May 2013
AbstractforMean–semivariance portfolio selection under probability distortion | Full Text | References | PDF (153.9 KB)
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Article
Deterministic mean-variance-optimal consumption and investment
Marcus Christiansen & Mogens Steffensen
Pages: 620-636
Published online: 18 Jun 2013
AbstractforDeterministic mean-variance-optimal consumption and investment | Full Text | References | PDF (134.4 KB)
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Article
Solving a Hamilton–Jacobi–Bellman equation with constraints
Alireza Edalati & Christian Hipp
Pages: 637-651
Published online: 28 May 2013
AbstractforSolving a Hamilton–Jacobi–Bellman equation with constraints | Full Text | References | PDF (211.7 KB)
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Article
Controlled random fields, von Neumann–Gale dynamics and multimarket hedging with risk
I. V. Evstigneev & M. V. Zhitlukhin
Pages: 652-666
Published online: 03 Jun 2013
AbstractforControlled random fields, von Neumann–Gale dynamics and multimarket hedging with risk | Full Text | References | PDF (174 KB)
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Article
Hedging of game options in discrete markets with transaction costs
Yuri Kifer
Pages: 667-681
Published online: 23 May 2013
AbstractforHedging of game options in discrete markets with transaction costs | Full Text | References | PDF (143.1 KB)
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Article
Singular ergodic control for multidimensional Gaussian–Poisson processes
J. L. Menaldi & M. Robin
Pages: 682-691
Published online: 30 May 2013
AbstractforSingular ergodic control for multidimensional Gaussian–Poisson processes | Full Text | References | PDF (107 KB)
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Article
Utility maximization in an illiquid market
H. Mete Soner & M. Vukelja
Pages: 692-706
Published online: 24 May 2013
AbstractforUtility maximization in an illiquid market | Full Text | References | PDF (181.6 KB)
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Article
Stochastic impulse control with regime switching for the optimal dividend policy when there are business cycles, taxes and fixed costs
Luz R. Sotomayor & Abel Cadenillas
Pages: 707-722
Published online: 30 May 2013
AbstractforStochastic impulse control with regime switching for the optimal dividend policy when there are business cycles, taxes and fixed costs | Full Text | References | PDF (154.9 KB)
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Article
Near-optimal mean–variance controls under two-time-scale formulations and applications
Zhixin Yang, George Yin, Le Yi Wang & Hongwei Zhang
Pages: 723-741
Published online: 24 May 2013
AbstractforNear-optimal mean–variance controls under two-time-scale formulations and applications | Full Text | References | PDF (165.4 KB)
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