Stochastic Optimization Methods in Economics, Finance and Insurance
A special issue of Mathematics (ISSN 2227-7390). This special issue belongs to the section "Financial Mathematics".
Deadline for manuscript submissions: closed (31 May 2021) | Viewed by 15095
Special Issue Editors
Interests: stochastic processes; filtering; optimal control; optimal stopping; BSDEs; applications in finance; insurance and economics
Special Issue Information
Dear Colleagues,
Stochastic optimization finds numerous and various applications in economics, finance, and insurance. Among these, we may cite optimal portfolio selection, optimal reinsurance, and investment problems, utility maximization and application to valuation of financial and insurance derivatives, optimal management of pension fund and public debt, and risk measures. This Special Issue aims at collecting original research papers or comprehensive reviews on the theory and applications of dynamic stochastic optimization in economics, finance and insurance. Advanced mathematical tools have been employed to handle with these problems including viscosity solutions approach, martingale methods, backward stochastic differential equations (BSDEs), partial differential equations (PDEs), convex duality, filtering techniques, and various numerical methods. Applications different from stochastic optimization will be possibly considered.
Prof. Dr. Claudia Ceci
Dr. Matteo Brachetta
Guest Editors
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Keywords
- Stochastic control
- Optimal reinsurance
- Utility maximization
- Financial and insurance derivatives
- Backward stochastic differential equations
- Partial information
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