Jörn Sass - Veröffentlichungen allgemein

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EconPapers: Moment based regression algorithms for drift and...

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By Robert J. Elliott, Vikram Krishnamurthy and Jörn Sass; Abstract: We consider a continuous time Markov switching model (MSM) which is widely used in mathematical

Operations Research Proceedings | SpringerLink

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The symposium Operations Research was held from September 5-7, at the Saarland University in Saarbru ¨cken. This international conference is at the...

EconPapers: Estimating models based on Markov jump processes given...

econpapers.repec.org

By Markus Hahn, Sylvia Frühwirth-Schnatter and Jörn Sass; Estimating models based on Markov jump processes given fragmented observation series

Optimizing the terminal wealth under partial information: The drift...

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We consider a multi-stock market model where prices satisfy a stochastic differential equation with instantaneous rates of return modeled as a continuous time...

Optimal consumption and investment under partial information |...

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We consider a stock market model where prices satisfy a stochastic differential equation with a stochastic drift process. The investor’s objective is to...

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Veröffentlichungen allgemein Jörn Sass

EconPapers: Moment based regression algorithms for drift and...

Operations Research Proceedings | SpringerLink

EconPapers: Estimating models based on Markov jump processes given...

Optimizing the terminal wealth under partial information: The drift...

Optimal consumption and investment under partial information |...