- 연구실적

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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