This book presents a radically new approach to problems of evaluating and optimizing the
performance of continuous-time stochastic systems. This approach is based on the use of a …

In this paper, optimal consumption and investment decisions are studied for an investor who
has available a bank account paying a fixed rate of interest and a stock whose price is a log-…

We consider the problem of maximizing terminal utility in a model where asset prices are
driven by Wiener processes, but where the various rates of returns are allowed to be arbitrary …

In this paper we provide an introduction to nonlinear filtering from two points of view: the
innovations approach and the approach based upon an unnormalized conditional density. The …

This paper concerns the nonlinear filtering problem of calculating “estimates” E[f(x t )¦y s , s≦t]
where {x t } is a Markov process with infinitesimal generator A and {y t } is an observation …

A general class of non‐diffusion stochastic models is introduced with a view to providing a
framework for studying optimization problems arising in queueing systems, inventory theory, …

The authors consider the problem of pricing European options in a market model similar to
the Black–Scholes one, except that proportional transaction charges are levied on all sales …

Suppose we are given a set of prices of European call options over a finite range of strike
prices and exercise times, written on a financial asset with deterministic dividends which is …

Capacity expansion is the process of providing new facilities over time to meet rising demand.
A general mathematical model of this process is presented, incorporating uncertain future …

M,) where (M,) is the martingale component in the Doob-Meyer decomposition Zt= M,—At of
the Snell envelope (Zt) of (У,). Thus the process (A,) defined by A,:= Mœ—M [is the Lagrange …