1. On the Singular Control of a Diffusion and its Running Infimum or Supremum
   2025/01/29 by Giorgio Ferrari, Néofytos Rodosthenous, Ferrari, Giorgio +1 · 1 citation
   Engineering · #49L12 #60J60 #91B70 #93E20 #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Optimization and Control (math.OC) #Probability (math.PR) #Stability and Controllability of Differential Equations
2. An Integral Equation in Portfolio Selection with Time-Inconsistent Preferences
   2024/12/03 by Liang, Zongxia, Wang, Sheng, Xia, Jianming · 2 citations
   #91B70 #91G10 #FOS: Economics and business #Mathematical Finance (q-fin.MF)
3. Market Making with Exogenous Competition
   2024/07/24 by Boyce, Robert, Herdegen, Martin, Sánchez-Betancourt, Leandro · 2 citations
   #49L20 #91B70 #93E20 #FOS: Economics and business #Mathematical Finance (q-fin.MF)
4. Pricing and calibration in the 4-factor path-dependent volatility model
   2024/06/04 by Gazzani, Guido, Guyon, Julien · 3 citations
   #65C20 #91B70 #91G20 #91G30 #91G60 #Computational Finance (q-fin.CP) #FOS: Economics and business #Mathematical Finance (q-fin.MF) #Pricing of Securities (q-fin.PR)
5. A Mean-Field Game of Market Entry: Portfolio Liquidation with Trading Constraints
   2024/03/15 by Fu, Guanxing, Hager, Paul P., Horst, Ulrich · 1 citation
   #60H30 #91B70 #93E20 #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Optimization and Control (math.OC)
6. Optimal Retirement Choice under Age-dependent Force of Mortality
   2023/11/20 by Giorgio Ferrari, Ferrari, Giorgio, Shihao Zhu +1 · 1 citation
   Energy · Health Professions · Social Sciences · #60G40 #91B70 #93E20 #Energy, Environment, and Transportation Policies #FOS: Economics and business #FOS: Mathematics #Global Health Care Issues #Insurance, Mortality, Demography, Risk Management #Mathematical Finance (q-fin.MF) #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM)
7. A biased dollar exchange model involving bank and debt with discontinuous equilibrium
   2023/11/14 by Cao, Fei, Reed, Stephanie · 1 citation
   #82C22 #82C31 #91B70 #91B80 #FOS: Mathematics #Probability (math.PR)
8. The Minimax Wiener Sequential Testing Problem
   2023/10/31 by Ernst, Philip, Mei, Hongwei · 1 citation
   #91B70 #93C30. Secondary: 60H30 #FOS: Mathematics #Optimization and Control (math.OC) #Primary: 60G40
9. Mean-field control problems with multi-dimensional singular controls
   2023/08/08 by Denkert, Robert, Horst, Ulrich · 1 citation
   #60H30 #91B70 #93E20 #FOS: Economics and business #Mathematical Finance (q-fin.MF)
10. Discount Models
    2023/06/29 by Filipovic, Damir · 1 citation
    #91B70 #91G20 #91G30 #FOS: Economics and business #Mathematical Finance (q-fin.MF)
11. Lifting of Volterra processes: optimal control in UMD Banach spaces
    2023/06/25 by di Nunno, Giulia, Giordano, Michele · 1 citation
    #35R15 #49L20 #60H10 #60H20 #91B70 #93E20 #FOS: Mathematics #Optimization and Control (math.OC)
12. The Time-Interlaced Self-Consistent Master System of Heterogeneous-Agent Models
    2023/03/22 by Lyasoff, Andrew · 1 citation
    #49Q22 #91A16 #91B70 #FOS: Economics and business #FOS: Mathematics #General Economics (econ.GN) #Optimization and Control (math.OC)
13. Joint calibration to SPX and VIX options with signature-based models
    2023/01/30 by Christa Cuchiero, Cuchiero, Christa, Guido Gazzani +5 · 8 citations
    Economics, Econometrics and Finance · #62P05 #65C20 #91B70 #Capital Investment and Risk Analysis #FOS: Economics and business #FOS: Mathematics #Financial Risk and Volatility Modeling #Mathematical Finance (q-fin.MF) #Probability (math.PR) #Stochastic processes and financial applications
14. On a Merton Problem with Irreversible Healthcare Investment
    2022/12/10 by Ferrari, Giorgio, Zhu, Shihao · 1 citation
    #60G40 #91B70 #93E20 #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Optimization and Control (math.OC)
15. Uncovering a two-phase dynamics from a dollar exchange model with bank and debt
    2022/08/23 by Cao, Fei, Motsch, Sébastien · 2 citations
    #35Q84 #82C31 #91B70 #91B80 #FOS: Mathematics #Probability (math.PR)
16. Signature-based models: theory and calibration
    2022/07/26 by Christa Cuchiero, Guido Gazzani, Cuchiero, Christa +3 · 11 citations
    Economics, Econometrics and Finance · Engineering · #62P05 #65C20 #91B70 #Capital Investment and Risk Analysis #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Probability (math.PR) #Reservoir Engineering and Simulation Methods #Stochastic processes and financial applications
17. Estimating risks of option books using neural-SDE market models
    2022/02/15 by Samuel N. Cohen, Christoph Reisinger, Cohen, Samuel N. +3 · 1 citation
    Economics, Econometrics and Finance · Engineering · #62M45 #62P05 #91B28 #91B70 #Computational Finance (q-fin.CP) #FOS: Computer and information sciences #FOS: Economics and business #FOS: Mathematics #Machine Learning (stat.ML) #Probability (math.PR) #Reservoir Engineering and Simulation Methods #Risk Management (q-fin.RM) #Statistical Finance (q-fin.ST) #Stochastic processes and financial applications
18. Optimal control in linear stochastic advertising models with memory
    2021/06/22 by Giordano, Michele, Yurchenko-Tytarenko, Anton · 1 citation
    #60H20 #90B60 #91B70 #92E20 #FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR)
19. Arbitrage-free neural-SDE market models
    2021/05/24 by Cohen, Samuel N., Reisinger, Christoph, Wang, Sheng · 3 citations
    #62M45 #62P05 #91B28 #91B70 #Computational Finance (q-fin.CP) #FOS: Computer and information sciences #FOS: Economics and business #FOS: Mathematics #Machine Learning (stat.ML) #Probability (math.PR) #Risk Management (q-fin.RM) #Statistical Finance (q-fin.ST)
20. Extended Mean Field Games with Singular Controls
    2019/09/09 by Fu, Guanxing · 2 citations
    #60H30 #91B70 #93E20 #FOS: Mathematics #Optimization and Control (math.OC)
21. On the Compound Beta-Binomial Risk Model with Delayed Claims and\n Randomized Dividends
    2019/08/09 by Aparna B. S, S, Aparna B., Neelesh S. Upadhye +1 · 1 citation
    Decision Sciences · Economics, Econometrics and Finance · Mathematics · Social Sciences · #91B16 #91B70 #FOS: Economics and business #Insurance, Mortality, Demography, Risk Management #Probability and Risk Models #Statistical Distribution Estimation and Applications #Statistical Finance (q-fin.ST) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics
22. Many-Server Asymptotics for Join-the-Shortest-Queue: Large Deviations and Rare Events
    2019/04/09 by Budhiraja, Amarjit, Friedlander, Eric, Wu, Ruoyu · 1 citation
    #34H05 #60F10 #60J74 #90B15 #91B70 #FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR)
23. No Arbitrage in Continuous Financial Markets
    2018/09/25 by Criens, David · 1 citation
    #60G44 #60H10 #91B70 #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Probability (math.PR)
24. Affine processes beyond stochastic continuity
    2018/04/20 by Keller-Ressel, Martin, Schmidt, Thorsten, Wardenga, Robert · 3 citations
    #60G99 #91B70 #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Probability (math.PR)
25. Optimal price management in retail energy markets: an impulse control problem with asymptotic estimates
    2018/03/21 by Basei, Matteo · 1 citation
    #91B24 #91B70 #93E20 #FOS: Economics and business #FOS: Mathematics #General Economics (econ.GN) #Optimization and Control (math.OC) #Probability (math.PR)
26. New approach to optimal control of stochastic Volterra integral equations
    2017/09/16 by Agram, Nacira, Øksendal, Bernt, Yakhlef, Samia · 1 citation
    #60H05 #60H20 #60J75 #91B70 #91G80 #93E20 #FOS: Mathematics #Optimization and Control (math.OC)
27. Stochastic Control of Memory Mean-Field Processes
    2017/01/07 by Agram, Nacira, Øksendal, Bernt · 1 citation
    #60H05 #60H20 #60J75 #91B70 #91B70. 60H05 #91G80 #93E20 #FOS: Mathematics #Optimization and Control (math.OC)
28. Mean Field Games with Singular Controls
    2016/12/16 by Fu, Guanxing, Horst, Ulrich · 5 citations
    #60H30 #91B70 #93E20 #FOS: Mathematics #Optimization and Control (math.OC)
29. Arbitrage and Hedging in model-independent markets with frictions
    2015/12/04 by Burzoni, Matteo · 1 citation
    #28A05 #28B20 #46A20 #60B05 #60G42 #60H99 #91B24 #91B70 #91G99 #FOS: Economics and business #Mathematical Finance (q-fin.MF)
30. Full and fast calibration of the Heston stochastic volatility model
    2015/11/27 by Cui, Yiran, Rollin, Sebastian del Baño, Germano, Guido · 3 citations
    #49N45 #65K10 #91B70 #91G60 #Computational Finance (q-fin.CP) #FOS: Economics and business #G.1.6 #G.3 #I.6.4 #J.2 #J.4

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