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Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/302558
Description: This paper investigates a stochastic optimal control problem with delay and of mean-field type, where the controlled state process is governed by a mean-field jump-diffusion stochastic delay different ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/215316
Description: This paper establishes a necessary and sufficient stochastic maximum principle for a mean-field model with randomness described by Brownian motions and Poisson jumps. We also prove the existence and u ... More
Reviewed: Reviewed
Authors: Siu, Tak Kuen
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/208770
Description: An asset allocation problem of a member of a defined contribution (DC) pension fund is discussed in a hidden, Markov regime-switching, economy using backward stochastic differential equations, (BSDEs) ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/135124
Description: We discuss a backward stochastic differential equation, (BSDE), approach to a risk-based, optimal investment problem of an insurer. A simplified continuous-time economy with two investment vehicles, n ... More
Reviewed: Reviewed
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