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논문실적

논문실적
번호 저자 논문 제목
(P)ublished, (A)ccepted, (S)ubmitted, (W)orking paper
1 Bensoussan et al. (P) “Real Options with Competition and Incomplete Markets”
2 Bensoussan et al. (P) “Differential Games with Mixed Leadership: The Open-Loop Solution”
3 Bensoussan et al. (P) “Achieving a Long-Term Service Target with Periodic Signals: A Newsvendor Framework”
4 Bensoussan et al. Bensoussan et al.
5 Bensoussan et al. (P) “When Do Firms Invest in Privacy-Preserving Technologies?”
6 Bensoussan et al. (P) “Filtering for Discrete-Time Markov Processes and Applications to Inventory Control with Incomplete Information”
7 Bensoussan et al. (P) “When Hackers Talk: Managing Information Security under Variable Attack Rates and Information Dissemination”
8 Bensoussan et al. (P) “Computation of Approximate Optimal Policies in Partially Observed Inventory Model with Rain Checks”
9 Bensoussan et al. (P) “The Genuine Savings Criterion and the Value of Population in an Economy with Endogenous Fertility Rate”
10 Bensoussan et al. (P) “Optimal Control of Variational Inequalities”
11 Bensoussan et al. (P) "Uncertainties and Risks in Water Resources Management"
12 Bensoussan et al. (P) “Singular Control and Impulse Control: A Common Approach”
13 Bensoussan et al. (P) “Singular Control and Impulse Control with Application to Mutual Insurance Optimization”
14 Bensoussan et al. (P) “On a Class of Partial Differential Equations with Nonlocal Boundary Conditions”
15 Bensoussan et al. (P) “Systems of Bellman Equations to Stochastic Differential Games with Non-Compact Coupling”
16 Bensoussan et al. (P) “An Incomplete Information Inventory Model with Presence of Inventories or Backorders as Only Observations”
17 Bensoussan et al. (P) “Real Options Games in Complete and Incomplete markets with Several Decision makers”
18 Bensoussan et al. (P) “Inventory Control with an Order-Time Constraint: Optimality, Uniqueness and significance”
19 Bensoussan et al. (P) “Investment in Privacy-Preserving Technologies under Uncertainty”
20 Bensoussan et al. (P) “Forecasting the Energy Produced by a Windmill on a Yearly Basis”
21 Bensoussan et al. (P) “Nash and Stackelberg Differential Games”
22 Koo & Shim (P) “The Crisis and Financial Engineering”
23 Koo et al. (P) “A Generalization of Dybvig’s Result on Portfolio Selection with Intolerance for Decline in Consumption”
24 Koo & Bae et al. (P) “A Survey on American Options: Old Approaches and New Trends”
25 Koo & Ahn (P) “Optimal Consumption and Slutsky Equation with Epstein-Zin Type Preference”
26 Shim (P) “Consumption/Investment Problem when the Investment Opportunity Set can be Enlarged by Information gathering”
27 Shim (P) “A Snowball Currency Option”
28 Tang et al. (P) “Strong Solution of Backward Stochastic Partial Differential Equations in C2 Domains”
29 Cadenillas et al. (P) “Optimal Control of a Mean-Reverting Inventory”
30 Cadenillas et al. (P) “Classical and Singular Stochastic Control for the Optimal Dividend Policy When There Is Regime Switching”
31 Lee et al. (P) “Dominant Markets, Staggered Openings, and Price Discovery”
32 Lee et al. (P) “Estimation of NIG and VG Models for High Frequency Financial Data”
33 Tang & Koo et al. (P) “Optimal Switching of One-dimensional Reflected BSDEs, and Associated Multi-dimensional BSDEs with Oblique Reflection”
34 Tang et al. (P) “Maximum Principle for Quasi-Linear Backward Stochastic Partial Differential Equations”
35 Tang et al. (P) “Lp Theory for Super-Parabolic Backward Stochastic Partial Differential Equations in the Whole Space”
36 Chen et al. (P) “An Integral Representation Theorem of G-Expectations”
37 Chen et al. (P) “A Property of G-Probabilities”
38 Chen et al. (P) “Representation Theorems for Generators of BSDEs in Lp Spaces”
39 Bae et al. (P) “Stability for the 3D Navier-Stokes Equations with Nonzero Far Field Velocity on Exterior Domains”
40 Bae et al. (P) “Time-Asymptotic Interaction of Flocking Particles and an Incompressibble Viscous Fluid”
41 Bae et al. (P) “Existence of Strong Mild Solution of the Navier-Stokes Equations in the Half Space with Nondecaying Initial Data"
42 Bae, Kim, & Rho (P) "FDM Algorithm for Pricing of ELS with Exit-Probability"
43 Bensoussan et al. (A) “Discrete-Time Inventory Problems with Lead Time and Order Time Constraint”
44 Bensoussan et al. (A) “Real Options and Variational Inequalities”
45 Tang et al. (A) “2D Backward Stochastic Navier-Stokes Equations with Nonlinear Forcing”
46 Bensoussan et al. (A) “Real Options and Competition”
47 Lee et al. (A) "Discrete Time Hedging with Liquidity Risk"
48 Bensoussan et al. (A) “Average Cost Optimality in Inventory Models with Dynamic Information Delays”
49 Bensoussan et al. (A) “Impact of Security Risks on Cloud Computing Adoption”
50 Bensoussan et al. (A) “Existence and Compactness for Weak Solutions to Bellman Systems with Critical Growth”
51 Chen et al. (A) “Strong Laws of Large Numbers for Bernoulli Experiments under Ambiguity”
52 Chen et al. (A) “A Strong Law of Large Numbers for Non-Additive Probabilities”
53 Bensoussan et al. (S) “A Splitting Method for Band Control of Brownian Motion: With Application to Mutual Reserve Optimization”
54 Bensoussan et al. (S) “Inventory Control with a Cash Register: Sales Recorded but not Demand or Shrinkage”
55 Bensoussan et al. (S) “A Trust-Score-Based Access Control in Assured Information Sharing Systems: An Application of Financial Credit Risk Score Models”
56 Bensoussan et al. (S) “Impulse Control for Mutual Reserve Optimization”
57 Bensoussan et al. (S) “Managing Information Security Under Continuous Drift and Sudden Shocks”
58 Bensoussan et al. (S) “Real Options with Competition and Incomplete Markets”
59 Bensoussan et al. (S) “Existence and Uniqueness of Solutions for Partially Observed Stochastic Control Problem”
60 Sung et al. (S) “Moral Hazard Decreases Equilibrium Interest Rates”
61 Sung et al. (S) “A General Equilibrium Model of a Multi-firm moral Hazard Economy with Financial Markets”
62 Bae, Kim, & Koo (S) “An efficient Numerical Method for Higher ”
63 Chen et al. (W) “A Law of the Iterated Logarithm Sublinear Expectations”
64 Chen et al. (W) “Strong Law of Large Number for Capacities”
65 Hyun, & Koo (W) “Optimal Hedging of a Contingent Claim With Ambiguity Aversion”
66 Bensoussan, Cadenillas, Koo, & Sung (W) “An Equilibrium Loan Contract Under Moral Hazard in Continuous -time”
67 Bensoussan, Shim, & Sung (W) “Mutual Insurance and Optimal Reserve Policy”
68 Sung et al. (W) “CEO Pay and Firm Size in CEO Job Market Equilibrium”
69 Bae et al. (W) “Application of Flocking Mechanism to the Modeling of Stochastic Volatility”
70 Sung et al. (W) “A Parallel Monte-Carlo Method for ELS”
71 Sung, Bae & Park (W) “Price Manipulation and Option Trading Strategies”
72 Koo, Dybvig, & Jang (W) “A Utility Model of Learning How to Consume Effectively”
73 Koo, Shim & Dokko (W) “Optimal Consumption and Portfolio Selection with a Self-Financing Constraint”
74 Koo, Ahn, & Jeon (W) “General Equilibrium Experiment with Ambiguity”

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