1 |
R.C. Merton, Lifetime portfolio selection under uncertainty: the continuous case, The Review of Economics and Statistics, 51(3) (1969), 247-257.
DOI
|
2 |
R.C. Merton, Optimal consumption and portfolio rules in a continuous time model, Journal of Economic Theory, 3 (1971), 373-413.
DOI
|
3 |
W.H Fleming and H.M. Soner, Controlled Markov Processes and Viscosity Solutions, New York, Springer, 1993.
|
4 |
R.C. Merton, Continuous-Time Finance, Blackwell, 2005.
|
5 |
A. Lioui and P. Poncet, On optimal portfolio choice under stochastic interest rates, Journal of Economic Dynamics and Control, 25(11) (2001), 1841-1865.
DOI
|
6 |
R. Korn and H. Kraft, A stochastic control approach to portfolio problems with stochastic interest rates, SIAM Journal on Control and Optimization, 40(4) (2002), 1250-1269.
DOI
|
7 |
W.H. Fleming and T. Pang, An application of stochastic control theory to financial economics, SIAM Journal on Control and Optimization, 43(2) (2004), 502-531.
DOI
|
8 |
J. Detemple and M. Rindisbacher, Closed form solutions for optimal portfolio election with stochastic interest rate and investment constraints, Mathematical finance, 15(4) (2005), 539-568.
DOI
|
9 |
J. Liu, Portfolio selection in stochastic environments, The Review of Financial Studies, 20(1) (2007), 1-39.
DOI
|
10 |
J.Z. Li and R. Wu, Optimal investment problem with stochastic interest rate and stochastic volatility: maximizing a power utility, Applied Stochastic Models in Business and Industry, 25(3) (2009), 407-420.
DOI
|
11 |
E.-J. Noh and J.-H. Kim, An optimal portfolio model with stochastic volatility and stochastic interest rate, Journal of Mathematical Analysis and Applications, 375(2) (2011), 510-522.
DOI
|
12 |
H. Chang and K. Chang, Dynamic portfolio selection with stochastic interest rates for quadratic utility maximizing, Chinese Journal of Applied Probability and Statistics, 28(3) (2012), 301-310.
|
13 |
Y. Shen and T.K. Siu, Asset allocation under stochastic interest rate with regime switching, Economic Modelling, 29(4) (2012), 1126-1136.
DOI
|
14 |
T. Zariphopoulou, Optimal investment and consumption models with nonlinear stock dynamics, Mathematical Methods of Operations Research, 50 (1999), 271-296.
DOI
|
15 |
R.W. Lee, Implied and local volatilities under stochastic volatility, International Journal of Theoretical and Applied Finance, 4(1) (2001), 45-89.
|
16 |
W.H. Fleming and D. Hernandez-Hernandez, An optimal consumption model with stochastic volatility, Finance and Stochastics, 7(2) (2003), 245-262.
DOI
|
17 |
G. Chacko and L.M. Viceira, Dynamic consumption and portfolio choice with stochastic volatility in incomplete markets, The Review of Financial Studies, 18(4) (2005), 1369-1402.
DOI
|
18 |
M. Fukasawa, Asymptotic analysis for stochastic volatility: martingale expansion, Finance and Stochastics, 15(4) (2011), 635-654.
DOI
|
19 |
A.L. Lewis, Option Valuation under Stochastic Volatility with Mathematica Code, Finance Press, Newport Beach, 2000.
|
20 |
O. Vasicek, An equilibrium characterisation of the term structure, Journal of Financial Economics, 5(2) (1977), 177-188.
DOI
|
21 |
K. Ito, Stochastic Integral, Proc. Imperial Acad. Tokyo, 20 (1944), 519-524.
DOI
|
22 |
B. Oksendal, Stochastic Differential Equations, Springer, New York, 2003.
|
23 |
R.E. Bellman, Dynamic programming and a new formalism in the calculus of variations, Proc. Nat. Acad. Sci, 40(4) (1954), 231-235.
DOI
|
24 |
J.L. Kelley, General topology, Springer-Verlag, 1991.
|
25 |
T.H. Gronwall, Note on the derivatives with respect to a parameter of the solutions of a system of differential equations, The Annals of Mathematics, 20 (1919), 292-296.
DOI
|
26 |
W.H. Fleming and R.W. Rishel, Deterministic and Stochastic Optimal Control, Springer, New York, 1975.
|