Search Results - "Kilianová, Soňa"

SIR-based mathematical modeling of infectious diseases with vaccination and waning immunity by Ehrhardt, Matthias, Gašper, Ján, Kilianová, Soňa

“…•A new SIR model describing vaccination as well as waning immunity.•This model is derived on a purely discrete level and hence corresponds to a novel finite…”
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Dynamic intertemporal utility optimization by means of Riccati transformation of Hamilton–Jacobi–Bellman equation by Kilianová, Soňa, Ševčovič, Daniel

“…In this paper we investigate a dynamic stochastic portfolio optimization problem involving both the expected terminal utility and intertemporal utility…”
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Robust portfolio optimization via solution to the Hamilton-Jacobi-Bellman equation by Kilianova, Sona, Trnovska, Maria

“…We consider a problem of dynamic stochastic portfolio optimization modelled by a fully non-linear Hamilton-Jacobi-Bellman (HJB) equation. Using the Riccati…”
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Optimal pension fund management under multi-period risk minimization by Kilianová, Soňa, Pflug, Georg Ch

“…In this paper, a multi-period stochastic optimization model for solving a problem of optimal selection of a pension fund by a pension plan member is presented…”
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Dynamic intertemporal utility optimization by means of Riccati transformation of Hamilton-Jacobi Bellman equation by Kilianova, Sona, Sevcovic, Daniel

“…In this paper we investigate a dynamic stochastic portfolio optimization problem involving both the expected terminal utility and intertemporal utility…”
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Expected Utility Maximization and Conditional Value-at-Risk Deviation-based Sharpe Ratio in Dynamic Stochastic Portfolio Optimization by Kilianova, Sona, Sevcovic, Daniel

“…In this paper we investigate the expected terminal utility maximization approach for a dynamic stochastic portfolio optimization problem. We solve it…”
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Transformation Method for Solving Hamilton-Jacobi-Bellman Equation for Constrained Dynamic Stochastic Optimal Allocation Problem by Kilianova, Sona, Sevcovic, Daniel

“…In this paper we propose and analyze a method based on the Riccati transformation for solving the evolutionary Hamilton-Jacobi-Bellman equation arising from…”
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