Juan Pablo Rincón Zapatero-rekin lankidetzan egindako argitalpenak (29)

2019

  1. Certainty equivalence principle in stochastic differential games: An inverse problem approach

    Optimal Control Applications and Methods, Vol. 40, Núm. 3, pp. 545-557

  2. Equilibrium strategies in a defined benefit pension plan game

    European Journal of Operational Research, Vol. 275, Núm. 1, pp. 374-386

2018

  1. Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance

    Insurance: Mathematics and Economics, Vol. 82, pp. 73-86

  2. Stochastic Differential Games for Which the Open-Loop Equilibrium is Subgame Perfect

    Dynamic Games and Applications, Vol. 8, Núm. 2, pp. 379-400

2015

  1. Euler–Lagrange equations of stochastic differential games: Application to a game of a productive asset

    Economic Theory, Vol. 59, Núm. 1, pp. 61-108

  2. Optimización de carteras en un modelo de plan de pensiones con elasticidad constante de la varianza

    XXXV Congreso Nacional SEIO: IX Jornadas de Estadística Pública : Universidad Pública de Navarra, Pamplona, del 26 al 29 de mayo de 2015

2012

  1. Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes

    European Journal of Operational Research, Vol. 220, Núm. 2, pp. 404-413

2010

  1. On a PDE Arising in One-Dimensional Stochastic Control Problems

    Journal of Optimization Theory and Applications, Vol. 147, Núm. 1, pp. 1-26

  2. Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates

    European Journal of Operational Research, Vol. 201, Núm. 1, pp. 211-221

2009

  1. Erratum: Existence and uniqueness of solutions to the Bellman equation in the unbounded case (Econometrica (2003) 71:5 (1519-1555))

    Econometrica

  2. Una obtención alternativa de la función valor en problemas de control estocástico con tasa de descuento no constante

    XXXI Congreso Nacional de Estadística e Investigación Operativa ; V Jornadas de Estadística Pública: Murcia, 10-13 de febrero de 2009 : Libro de Actas

2008

  1. Funding and investment decisions in a stochastic defined benefit pension plan with several levels of labor-income earnings

    Computers and Operations Research, Vol. 35, Núm. 1, pp. 47-63

  2. Markov Perfect Nash Equilibrium in Stochastic Differetial Games as Solution of a Generalized Euler Equations System

    Documentos de trabajo. Economic series ( Universidad Carlos III. Departamento de Economía )

  3. Mean-variance portfolio and contribution selection in stochastic pension funding

    European Journal of Operational Research, Vol. 187, Núm. 1, pp. 120-137

  4. On one-dimensional stochastic control problems: applications to investmet models

    Documentos de trabajo. Economic series ( Universidad Carlos III. Departamento de Economía )

2007

  1. New approach to stochastic optimal control

    Journal of Optimization Theory and Applications, Vol. 135, Núm. 1, pp. 163-177

  2. Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates

    Documentos de trabajo. Economic series ( Universidad Carlos III. Departamento de Economía )

  3. Recursive utility with unbounded aggregators

    Economic Theory, Vol. 33, Núm. 2, pp. 381-391

2006

  1. Optimal investment decisions with a liability: The case of defined benefit pension plans

    Insurance: Mathematics and Economics, Vol. 39, Núm. 1, pp. 81-98

2004

  1. Optimal risk management in defined benefit stochastic pension funds

    Insurance: Mathematics and Economics, Vol. 34, Núm. 3, pp. 489-503