Contents of Volume 122
Stochastic Modeling and Control
Editors: Jacek Jakubowski, Mariusz Niewęgłowski,
Miklos Rásonyi and Łukasz Stettner
ISBN 978-83-86806-48-5
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On the relative value iteration with a risk-sensitive criterion Banach Center Publications 122 (2020), 9-24 MSC: Primary: 90C40, 93E20, 49K40; Secondary: 60J25, 60J60. DOI: 10.4064/bc122-1
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Markov decision processes under ambiguity Banach Center Publications 122 (2020), 25-39 MSC: Primary 90C40, 62C05; Secondary 91G99, 90C47. DOI: 10.4064/bc122-2
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From small markets to big markets Banach Center Publications 122 (2020), 41-52 MSC: Primary 93E20, 91B70, 91B16; Secondary 91G10, 46B09. DOI: 10.4064/bc122-3
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Time-inconsistent stopping, myopic adjustment and equilibrium stability: with a mean-variance application Banach Center Publications 122 (2020), 53-76 MSC: Primary 60G40; Secondary 91A25. DOI: 10.4064/bc122-4
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Bellman equations for scalar linear convex stochastic control problems Banach Center Publications 122 (2020), 77-92 MSC: Primary: 93E20; Secondary: 60J20, 93E24. DOI: 10.4064/bc122-5
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Markovian short rates in multidimensional term structure Lévy models Banach Center Publications 122 (2020), 93-106 MSC: Primary 60J60, 60J75, 91B70; Secondary 60J25, 60H10, 60G51. DOI: 10.4064/bc122-6
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Guiding the guiders: Foundations of a market-driven theory of disclosure Banach Center Publications 122 (2020), 107-132 MSC: Primary 91G50; Secondary 91G80, 93E11, 93E35, 60G35, 60G25. DOI: 10.4064/bc122-7
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Asymptotic behavior of the cross-dependence measures for bidimensional AR(1) model with $\alpha $-stable noise Banach Center Publications 122 (2020), 133-157 MSC: Primary 62M10; Secondary 37M10. DOI: 10.4064/bc122-8
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On the minimax theorem for the space of probability measures on metric spaces Banach Center Publications 122 (2020), 159-168 MSC: Primary 49K35; Secondary 91A25. DOI: 10.4064/bc122-9
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Revisiting linear and lognormal stochastic volatility models Banach Center Publications 122 (2020), 169-185 MSC: Primary 91B25; Secondary 60H30, 91G80. DOI: 10.4064/bc122-10
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Ergodic impulse control with constraint: locally compact case Banach Center Publications 122 (2020), 187-206 MSC: Primary 49J40; Secondary 60J60, 60J75. DOI: 10.4064/bc122-11
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Super-replication on illiquid markets—semistatic approach Banach Center Publications 122 (2020), 207-218 MSC: Primary 91G20; Secondary 91B26, 91B70. DOI: 10.4064/bc122-12
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Pairs trading: an optimal selling rule under a regime switching model Banach Center Publications 122 (2020), 219-232 MSC: Primary 91G80; Secondary 93E20. DOI: 10.4064/bc122-13
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Switching diffusions with mean-field interactions: limit results, maximum principle, and non-Markov systems Banach Center Publications 122 (2020), 233-254 MSC: 60J25; 60J27; 60J60; 93E20. DOI: 10.4064/bc122-14
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$L^p$-theory of forward-backward stochastic differential equations Banach Center Publications 122 (2020), 255-286 MSC: Primary 60H10; Secondary 49N05, 93E20. DOI: 10.4064/bc122-15
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On the parabolic equation for portfolio problems Banach Center Publications 122 (2020), 287-302 MSC: Primary 91G80; Secondary 93E20, 35K58, 60A38, 91B25. DOI: 10.4064/bc122-16
