Mathematical Control Theory and Finance

1. Extremals Flows and Infinite Horizon Optimization
Andrei A. Agrachev, Francesca C. Chittaro

2. Laplace Transforms and the American Call Option
Ghada Alobaidi, Roland Mallier

3. Time Change, Volatility, and Turbulence
Ole E. Barndorff-Nielsen, Jürgen Schmiegel

4. External Dynamical Equivalence of Analytic Control Systems
Zbigniew Bartosiewicz, Ewa Pawluszewicz

5. On Option-Valuation in Illiquid Markets: Invariant Solutions to a Nonlinear Model
Ljudmila A. Bordag

6. Predicting the Time of the Ultimate Maximum for Brownian Motion with Drift
Jacques Toit, Goran Peskir

7. A Stochastic Demand Model for Optimal Pricing of Non-Life Insurance Policies
Paul Emms

8. Optimality of Deterministic Policies for Certain Stochastic Control Problems with Multiple Criteria and Constraints
Eugene A. Feinberg

9. Higher-Order Calculus of Variations on Time Scales
Rui A. C. Ferreira, Delfim F. M. Torres

10. Finding Invariants of Group Actions on Function Spaces, a General Methodology from Non-Abelian Harmonic Analysis
Jean-Paul Gauthier, Fethi Smach, Cedric Lemaître, Johel Miteran

11. Nonholonomic Interpolation for Kinematic Problems, Entropy and Complexity
Jean-Paul Gauthier, Vladimir Zakalyukin

12. Instalment Options: A Closed-Form Solution and the Limiting Case
Susanne Griebsch, Christoph Kühn, Uwe Wystup

13. Existence and Lipschitzian Regularity for Relaxed Minimizers
Manuel Guerra, Andrey Sarychev

14. Pricing of Defaultable Securities under Stochastic Interest
Nino Kordzakhia, Alexander Novikov

15. Spline Cubatures for Expectations of Diffusion Processes and Optimal Stopping in Higher Dimensions (with Computational Finance in View)
Andrew Lyasoff

16. An Approximate Solution for Optimal Portfolio in Incomplete Markets
Francesco Menoncin

17. Carleman Linearization of Linearly Observable Polynomial Systems
Dorota Mozyrska, Zbigniew Bartosiewicz

18. Observability of Nonlinear Control Systems on Time Scales - Sufficient Conditions
Ewa Pawluszewicz

19. Sufficient Optimality Conditions for a Bang-bang Trajectory in a Bolza Problem
Laura Poggiolini, Marco Spadini

20. Modelling Energy Markets with Extreme Spikes
Thorsten Schmidt

21. Generalized Bayesian Nonlinear Quickest Detection Problems: On Markov Family of Sufficient Statistics
Albert N. Shiryaev

22. Necessary Optimality Condition for a Discrete Dead Oil Isotherm Optimal Control Problem
Moulay Rchid Sidi Ammi, Delfim F. M. Torres

23. Managing Operational Risk: Methodology and Prospects
Grigory Temnov

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Avainsanat: MATHEMATICS / General MAT000000