Applications of Stochastic Optimal Control to Economics and Finance - Federico, Salvatore||Ferrari, Giorgio||Regis, Luca
English[eng]
Keywords: debt crisis||government debt management||optimal government debt ceiling||government debt ratio||stochastic control||decision analysis||risk management||Bayesian learning||Markowitz problem||optimal portfolio||portfolio selection||Markov additive processes||Markov regime switching market||Markovian jump securities||asymptotic arbitrage||complete market||multiple optimal stopping||general diffusion||real option analysis||energy imbalance market||optimal reinsurance||excess-of-loss reinsurance||Hamilton-Jacobi-Bellman equation||stochastic factor model||American options||least square method||derivatives pricing||binomial tree||stochastic interest rates||quadrinomial tree||insurance||unemployment||optimal stopping||geometric Brownian motion||martingale||free boundary problem||American call option||utility