SIAMCO
2008
13 years 4 months ago
2008
We solve optimal transportation problem using stochastic optimal control theory. Indeed, for a super linear cost at most quadratic at infinity, we prove Kantorovich duality theore...
AUTOMATICA
2006
13 years 4 months ago
2006
This paper examines a problem related to the optimal risk management of banks in a stochastic dynamic setting. In particular, we minimize7 market and capital adequacy risk that in...