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[会议论文] 作者：Ludkovski Mike,
来源：第八届工业与应用数学国际大会 年份：2015
We explore optimal investment in Research and Development activities among producers in a competitive market.R&D effort is costly and results in discrete te...
[会议论文] 作者：Ludkovski Mike,Xuwei Yang,
来源：第八届工业与应用数学国际大会 年份：2015
We employ mean field game approach to model an energy market with a continuum of producers.Nash equilibrium is obtained by solving a doubly coupled system o...
[会议论文] 作者：Ludkovski Mike,Leung Tim,
来源：第八届工业与应用数学国际大会 年份：2015
Mean-field games theory was introduced in 2006 by Lasry and Lions and by Huang,Caines and Malhaméas a way to describe consensus among a large population of...
[会议论文] 作者：Ludkovski Mike,Leung Tim,Gao Xuefeng,
来源：第八届工业与应用数学国际大会 年份：2015
The availability of high frequency financial data opens up new arenas for the application of continuous time stochastic modeling and introduces new problems...
[会议论文] 作者：Ludkovski Mike,Leung Tim,Cai Ning,
来源：第八届工业与应用数学国际大会 年份：2015
This minisymposium will explore new developments related to valuation of complex financial contracts,especially those with path-dependent features,such as A...
[会议论文] 作者：Ludkovski Mike,Leung Tim,Zhang Hongzhong,
来源：第八届工业与应用数学国际大会 年份：2015
This minisymposium presents four talks on optimal single/multiple stopping problems in finance....
[会议论文] 作者：Ludkovski Mike,Teichmann Josef,Cuchiero Christa,
来源：第八届工业与应用数学国际大会 年份：2015
Moving beyond the classical frameworks,like purely semimartingale based models,or no arbitrage theory with fixed probability spaces and a small number of assets,this minisymposium presents new directi...
[会议论文] 作者：Ludkovski Mike,Leung Tim,Peng Xianhua,
来源：第八届工业与应用数学国际大会 年份：2015
There has been a growing interest in the study of issues related to risk management and financial regulation in the financial mathematics community....
[会议论文] 作者：Ludkovski Mike,Leung Tim,Chen Nan,Li Lingfei,
来源：第八届工业与应用数学国际大会 年份：2015
This minisymposium will explore applications of stochastic control to utility maximization problems,including new developments motivated by models from beha...
[会议论文] 作者：Ludkovski Mike,Leung Tim,Li Lingfei,Chen Nan,
来源：第八届工业与应用数学国际大会 年份：2015
This minisymposium will explore recent developments in applications of stochastic control to risk analysis and hedging of financial contracts....
[会议论文] 作者：Ludkovski Mike,Leung Tim,Cui Zhenyu,Li Bin,
来源：第八届工业与应用数学国际大会 年份：2015
This minisymposium addresses applications of stochastic modeling in insurance and actuarial mathematics,including optimal dividend payouts,variable annuitie...
[会议论文] 作者：Ludkovski Mike,Leung Tim,Zhu Chao,Song Qingshuo,
来源：第八届工业与应用数学国际大会 年份：2015
The stochastic control theory is a field that probability and partial differential equation are intimately intertwined.With the rapid development of the mathematical finance in the last two decades,th...
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