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~person:"Hernández-Lerma, Onésimo"
~person:"Herzberg, Frederik"
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Search: subject:"Continuous Time"
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Itô diffusion
4
Overtaking optimality
4
Potentially complete market
4
Radner equilibrium
4
Continuous-time financial market
3
Stochastischer Prozess
3
Analytic transition density
2
Average reward criteria
2
Average reward optimality
2
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2
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2
Blackwell optimality
2
Continuous-time controlled Markov chains
2
Continuous-time controlled Markov chains (also known as Markov decision processes)
2
Continuous-time financial markets
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Continuous-time zero-sum Markov games
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Derivative pricing
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Hernández-Lerma, Onésimo
Herzberg, Frederik
Posch, Olaf
30
Wälde, Klaus
20
Friedman, Daniel
15
Andersen, Torben G.
14
Bollerslev, Tim
14
Oprea, Ryan
14
Riedel, Frank
14
Trimborn, Timo
13
Scalas, Enrico
12
Nuño, Galo
11
Steg, Jan-Henrik
10
Diebold, Francis X.
9
Federici, Daniela
9
Flaschel, Peter
9
Gandolfo, Giancarlo
8
Guo, Xianping
8
Parra-Alvarez, Juan Carlos
8
Prieto-Rumeau, Tomás
8
Bayer, Christian
7
Behringer, Stefan
7
Benndorf, Volker
7
Chambers, Marcus J.
7
Ebina, Takeshi
7
Hong, Yongmiao
7
Maggi, Bernardo
7
McAleer, Michael
7
Park, Joon Y.
7
Szydlowski, Martin
7
Yu, Jun
7
Benth, Fred Espen
6
Cui, Zhenyu
6
Fabbri, Giorgio
6
Folmer, Henk
6
Franke, Reiner
6
Kleinow, Torsten
6
Matsushima, Noriaki
6
Nijkamp, Peter
6
Patuelli, Roberto
6
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Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld
1
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Computational Statistics
3
Mathematical Methods of Operations Research
3
Annals of Finance
1
Annals of finance
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Journal of Mathematical Economics
1
Journal of mathematical economics
1
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RePEc
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ECONIS (ZBW)
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EconStor
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1
Existence of Financial Equilibria in
Continuous
Time
with Potentially Complete Markets
Riedel, Frank
;
Herzberg, Frederik
-
Institut für Mathematische Wirtschaftsforschung, …
-
2013
We prove that in smooth Markovian
continuous-time
economies with potentially complete asset markets, Radner equilibria …
Persistent link: https://www.econbiz.de/10008764998
Saved in:
2
Existence of financial equilibria in
continuous
time
with potentially complete markets
Riedel, Frank
;
Herzberg, Frederik
-
2010
We prove that in smooth Markovian
continuous-time
economies with potentially complete asset markets, Radner equilibria …
Persistent link: https://www.econbiz.de/10010285419
Saved in:
3
First steps towards an equilibrium theory for Lévy financial markets
Herzberg, Frederik
- In:
Annals of Finance
9
(
2013
)
3
,
pp. 543-572
For a
continuous-time
financial market with a single agent, we establish equilibrium pricing formulae under the …
Persistent link: https://www.econbiz.de/10010866549
Saved in:
4
Existence of financial equilibria in
continuous
time
with potentially complete markets
Riedel, Frank
;
Herzberg, Frederik
- In:
Journal of Mathematical Economics
49
(
2013
)
5
,
pp. 398-404
We prove that in smooth Markovian
continuous-time
economies with potentially complete asset markets, Radner equilibria …
Persistent link: https://www.econbiz.de/10010875283
Saved in:
5
First steps towards an equilibrium theory for Lévy financial markets
Herzberg, Frederik
- In:
Annals of finance
9
(
2013
)
3
,
pp. 543-572
Persistent link: https://www.econbiz.de/10009776388
Saved in:
6
Existence of financial equilibria in
continuous
time
with potentially complete markets
Riedel, Frank
;
Herzberg, Frederik
- In:
Journal of mathematical economics
49
(
2013
)
5
,
pp. 398-404
Persistent link: https://www.econbiz.de/10010190170
Saved in:
7
Variance minimization and the overtaking optimality approach to
continuous-time
controlled Markov chains
Prieto-Rumeau, Tomás
;
Hernández-Lerma, Onésimo
- In:
Computational Statistics
70
(
2009
)
3
,
pp. 527-540
This paper deals with denumerable-state
continuous-time
controlled Markov chains with possibly unbounded transition and …
Persistent link: https://www.econbiz.de/10010759505
Saved in:
8
Variance minimization and the overtaking optimality approach to
continuous-time
controlled Markov chains
Prieto-Rumeau, Tomás
;
Hernández-Lerma, Onésimo
- In:
Mathematical Methods of Operations Research
70
(
2009
)
3
,
pp. 527-540
This paper deals with denumerable-state
continuous-time
controlled Markov chains with possibly unbounded transition and …
Persistent link: https://www.econbiz.de/10010999914
Saved in:
9
Bias and overtaking equilibria for zero-sum
continuous-time
Markov games
Prieto-Rumeau, Tomás
;
Hernández-Lerma, Onésimo
- In:
Computational Statistics
61
(
2005
)
3
,
pp. 437-454
This paper deals with
continuous-time
zero-sum two-person Markov games with denumerable state space, general (Borel …
Persistent link: https://www.econbiz.de/10010847694
Saved in:
10
The Laurent series, sensitive discount and Blackwell optimality for
continuous-time
controlled Markov chains
Prieto-Rumeau, Tomás
;
Hernández-Lerma, Onésimo
- In:
Computational Statistics
61
(
2005
)
1
,
pp. 123-145
This paper gives conditions for the convergence of the Laurent series expansion for a class of
continuous-time
…
Persistent link: https://www.econbiz.de/10010847972
Saved in:
1
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