We study utility maximization for power utility random fields with and without intermediate consumption in a general semimartingale model with closed portfolio constraints. We show that any optimal ...

In the heart of the nation's capital, in a courthouse of the U.S. government, one man will stop at nothing to keep his honor, and one will stop at nothing to find the truth.

The Bellman Equation follows director Gabriel Lee Bellman's 13 years of research on his grandfather. As he beings to uncover his grandfather's storied history, Gabriel's relationship with his own ...

Two person zero sum differential games of survival are considered; these terminate as soon as the trajectory enters a given closed set F, at which time a cost or payoff is computed. One controller, or ...

Without resorting to dynamic programming, we determine the decumulation strategy for the holder of a defined contribution pension plan. We formulate this as a constrained stochastic optimal control ...