A two-dimensional control problem arising from dynamic contracting theory Jean-Paul DécampsStéphane Villeneuve OriginalPaper 08 November 2018 Pages: 1 - 28
Utility maximisation in a factor model with constant and proportional transaction costs Christoph BelakSören Christensen OriginalPaper 19 December 2018 Pages: 29 - 96
On the free boundary of an annuity purchase Tiziano De AngelisGabriele Stabile OriginalPaper Open access 19 December 2018 Pages: 97 - 137
On arbitrarily slow convergence rates for strong numerical approximations of Cox–Ingersoll–Ross processes and squared Bessel processes Mario HefterArnulf Jentzen OriginalPaper 22 October 2018 Pages: 139 - 172
A paradox in time-consistency in the mean–variance problem? Alain BensoussanKwok Chuen WongSheung Chi Phillip Yam OriginalPaper 19 December 2018 Pages: 173 - 207
Minimax theorems for American options without time-consistency Denis BelomestnyTobias HübnerSascha Nolte OriginalPaper 26 November 2018 Pages: 209 - 238
An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior Wing Fung ChongYing HuThaleia Zariphopoulou OriginalPaper Open access 12 December 2018 Pages: 239 - 273