A stochastic calculus model of continuous trading: optimal portfolios

Evaluating Portfolio Policies: A Duality Approach

Operations Research

Verification Theorems for Models of Optimal Consumption and Investment with Retirement and Constrained Borrowing

Mathematics of Operations Research

Risk Aversion and Portfolio Selection in a Continuous-Time Model

SIAM Journal on Control and Optimization

A Martingale Approach to Optimal Portfolios with Jump-diffusions

SIAM Journal on Control and Optimization

The estimation of the instantaneous amplitudes of sum of sinusoids with unknown frequencies and phases: The martingale approach

Signal Processing

Solving dynamic optimisation problems with revolutionary algorithms

International Journal of Innovative Computing and Applications