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You searched for `+publisher:"University of Texas – Austin" +contributor:("Zitkovic, Gordan")`

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1. DiTanna, Anthony Santino. The optimal control of a Lévy process.

Degree: Mathematics, 2009, University of Texas – Austin

URL: http://hdl.handle.net/2152/6652

► In this thesis we study the optimal stochastic control problem of the drift of a Lévy process. We show that, for a broad class of…
(more)

Subjects/Keywords: Lévy processes; Hamilton-Jacobi-Bellman equation; Finite difference scheme; Fourier transform; Score function; Fisher information; Optimal stochastic control problem

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

DiTanna, A. S. (2009). The optimal control of a Lévy process. (Thesis). University of Texas – Austin. Retrieved from http://hdl.handle.net/2152/6652

Note: this citation may be lacking information needed for this citation format:

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

DiTanna, Anthony Santino. “The optimal control of a Lévy process.” 2009. Thesis, University of Texas – Austin. Accessed May 27, 2019. http://hdl.handle.net/2152/6652.

Note: this citation may be lacking information needed for this citation format:

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

DiTanna, Anthony Santino. “The optimal control of a Lévy process.” 2009. Web. 27 May 2019.

Vancouver:

DiTanna AS. The optimal control of a Lévy process. [Internet] [Thesis]. University of Texas – Austin; 2009. [cited 2019 May 27]. Available from: http://hdl.handle.net/2152/6652.

Note: this citation may be lacking information needed for this citation format:

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

DiTanna AS. The optimal control of a Lévy process. [Thesis]. University of Texas – Austin; 2009. Available from: http://hdl.handle.net/2152/6652

Not specified: Masters Thesis or Doctoral Dissertation

University of Texas – Austin

2. Ji, Yuhee, 1980-. On the optimal multiple stopping problem.

Degree: Mathematics, 2010, University of Texas – Austin

URL: http://hdl.handle.net/2152/ETD-UT-2010-05-1320

► This report is mainly based on the paper "Optimal multiple stopping and valuation of swing options" by R. Carmona and N. Touzi (1). Here the…
(more)

Subjects/Keywords: Optimal multiple stopping problem; Snell envelope; Swing options; Brownian motion

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Ji, Yuhee, 1. (2010). On the optimal multiple stopping problem. (Thesis). University of Texas – Austin. Retrieved from http://hdl.handle.net/2152/ETD-UT-2010-05-1320

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Ji, Yuhee, 1980-. “On the optimal multiple stopping problem.” 2010. Thesis, University of Texas – Austin. Accessed May 27, 2019. http://hdl.handle.net/2152/ETD-UT-2010-05-1320.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Ji, Yuhee, 1980-. “On the optimal multiple stopping problem.” 2010. Web. 27 May 2019.

Vancouver:

Ji, Yuhee 1. On the optimal multiple stopping problem. [Internet] [Thesis]. University of Texas – Austin; 2010. [cited 2019 May 27]. Available from: http://hdl.handle.net/2152/ETD-UT-2010-05-1320.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Ji, Yuhee 1. On the optimal multiple stopping problem. [Thesis]. University of Texas – Austin; 2010. Available from: http://hdl.handle.net/2152/ETD-UT-2010-05-1320

Not specified: Masters Thesis or Doctoral Dissertation

University of Texas – Austin

3. Kontaxis, Andrew. Asymptotics for optimal investment with high-water mark fee.

Degree: Mathematics, 2015, University of Texas – Austin

URL: http://hdl.handle.net/2152/31516

► This dissertation studies the problem of optimal investment in a fund charging high-water mark fees. We consider a market consisting of a riskless money-market account…
(more)

Subjects/Keywords: Stochastic control; Mathematical finance

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Kontaxis, A. (2015). Asymptotics for optimal investment with high-water mark fee. (Thesis). University of Texas – Austin. Retrieved from http://hdl.handle.net/2152/31516

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Kontaxis, Andrew. “Asymptotics for optimal investment with high-water mark fee.” 2015. Thesis, University of Texas – Austin. Accessed May 27, 2019. http://hdl.handle.net/2152/31516.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Kontaxis, Andrew. “Asymptotics for optimal investment with high-water mark fee.” 2015. Web. 27 May 2019.

Vancouver:

Kontaxis A. Asymptotics for optimal investment with high-water mark fee. [Internet] [Thesis]. University of Texas – Austin; 2015. [cited 2019 May 27]. Available from: http://hdl.handle.net/2152/31516.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Kontaxis A. Asymptotics for optimal investment with high-water mark fee. [Thesis]. University of Texas – Austin; 2015. Available from: http://hdl.handle.net/2152/31516

Not specified: Masters Thesis or Doctoral Dissertation

University of Texas – Austin

4. Geng, Tianran. Essays on forward portfolio theory and financial time series modeling.

Degree: Mathematics, 2017, University of Texas – Austin

URL: http://hdl.handle.net/2152/63031

► This dissertation contains four self-contained essays that explore the application of stochastic and statistical modeling techniques to the problem of optimal portfolio choice and financial…
(more)

Subjects/Keywords: Forward portfolio theory; Time series analysis; Optimal portfolio choice; Mathematical finance

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Geng, T. (2017). Essays on forward portfolio theory and financial time series modeling. (Thesis). University of Texas – Austin. Retrieved from http://hdl.handle.net/2152/63031

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Geng, Tianran. “Essays on forward portfolio theory and financial time series modeling.” 2017. Thesis, University of Texas – Austin. Accessed May 27, 2019. http://hdl.handle.net/2152/63031.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Geng, Tianran. “Essays on forward portfolio theory and financial time series modeling.” 2017. Web. 27 May 2019.

Vancouver:

Geng T. Essays on forward portfolio theory and financial time series modeling. [Internet] [Thesis]. University of Texas – Austin; 2017. [cited 2019 May 27]. Available from: http://hdl.handle.net/2152/63031.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Geng T. Essays on forward portfolio theory and financial time series modeling. [Thesis]. University of Texas – Austin; 2017. Available from: http://hdl.handle.net/2152/63031

Not specified: Masters Thesis or Doctoral Dissertation

University of Texas – Austin

5. -4652-8789. Optimal investment with high-watermark fee in a multi-dimensional jump diffusion model.

Degree: Mathematics, 2017, University of Texas – Austin

URL: http://hdl.handle.net/2152/63034

► This dissertation studies the problem of optimal investment and consumption in a market in which there are multiple risky assets. Among those risky assets, there…
(more)

Subjects/Keywords: Mathematical finance; Stochastic control

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

-4652-8789. (2017). Optimal investment with high-watermark fee in a multi-dimensional jump diffusion model. (Thesis). University of Texas – Austin. Retrieved from http://hdl.handle.net/2152/63034

Note: this citation may be lacking information needed for this citation format:

Author name may be incomplete

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

-4652-8789. “Optimal investment with high-watermark fee in a multi-dimensional jump diffusion model.” 2017. Thesis, University of Texas – Austin. Accessed May 27, 2019. http://hdl.handle.net/2152/63034.

Note: this citation may be lacking information needed for this citation format:

Author name may be incomplete

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

-4652-8789. “Optimal investment with high-watermark fee in a multi-dimensional jump diffusion model.” 2017. Web. 27 May 2019.

Note: this citation may be lacking information needed for this citation format:

Author name may be incomplete

Vancouver:

-4652-8789. Optimal investment with high-watermark fee in a multi-dimensional jump diffusion model. [Internet] [Thesis]. University of Texas – Austin; 2017. [cited 2019 May 27]. Available from: http://hdl.handle.net/2152/63034.

Note: this citation may be lacking information needed for this citation format:

Author name may be incomplete

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

-4652-8789. Optimal investment with high-watermark fee in a multi-dimensional jump diffusion model. [Thesis]. University of Texas – Austin; 2017. Available from: http://hdl.handle.net/2152/63034

Author name may be incomplete

Not specified: Masters Thesis or Doctoral Dissertation

6. Dumav, Martin. Essays in economics dynamics and uncertainty.

Degree: Economics, 2012, University of Texas – Austin

URL: http://hdl.handle.net/2152/ETD-UT-2012-05-5580

► This work presents a systematic investigation of two topics. One is in stochastic dynamic general equilibrium. It incorporates private information into dynamic general equilibrium framework.…
(more)

Subjects/Keywords: Dynamic stochastic general equilibrium; Asymmetric information; Health insurance; Decision problems with ambiguity; Skorohod's representation theorem; Sets of probabilities; Multiple prior models

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Dumav, M. (2012). Essays in economics dynamics and uncertainty. (Thesis). University of Texas – Austin. Retrieved from http://hdl.handle.net/2152/ETD-UT-2012-05-5580

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Dumav, Martin. “Essays in economics dynamics and uncertainty.” 2012. Thesis, University of Texas – Austin. Accessed May 27, 2019. http://hdl.handle.net/2152/ETD-UT-2012-05-5580.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Dumav, Martin. “Essays in economics dynamics and uncertainty.” 2012. Web. 27 May 2019.

Vancouver:

Dumav M. Essays in economics dynamics and uncertainty. [Internet] [Thesis]. University of Texas – Austin; 2012. [cited 2019 May 27]. Available from: http://hdl.handle.net/2152/ETD-UT-2012-05-5580.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Dumav M. Essays in economics dynamics and uncertainty. [Thesis]. University of Texas – Austin; 2012. Available from: http://hdl.handle.net/2152/ETD-UT-2012-05-5580

Not specified: Masters Thesis or Doctoral Dissertation

7. Lockett, Alan Justin. General-purpose optimization through information maximization.

Degree: Computer Sciences, 2012, University of Texas – Austin

URL: http://hdl.handle.net/2152/ETD-UT-2012-05-5459

► The primary goal of artificial intelligence research is to develop a machine capable of learning to solve disparate real-world tasks autonomously, without relying on specialized…
(more)

Subjects/Keywords: Optimization; General-purpose learning; Martingale optimization; Artificial intelligence; Evolutionary computation; Genetic algorithms; Simulated annealing; Evolutionary annealing; Neuroannealing; Neural networks; Neural network controllers; Neuroevolution; Differential evolution; No Free Lunch theorems; NFL Identification Theorem; Population-based stochastic optimization; Iterative optimization; Optimal optimization; Information-maximization principle; Convex control; Algorithm selection

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Lockett, A. J. (2012). General-purpose optimization through information maximization. (Thesis). University of Texas – Austin. Retrieved from http://hdl.handle.net/2152/ETD-UT-2012-05-5459

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Lockett, Alan Justin. “General-purpose optimization through information maximization.” 2012. Thesis, University of Texas – Austin. Accessed May 27, 2019. http://hdl.handle.net/2152/ETD-UT-2012-05-5459.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Lockett, Alan Justin. “General-purpose optimization through information maximization.” 2012. Web. 27 May 2019.

Vancouver:

Lockett AJ. General-purpose optimization through information maximization. [Internet] [Thesis]. University of Texas – Austin; 2012. [cited 2019 May 27]. Available from: http://hdl.handle.net/2152/ETD-UT-2012-05-5459.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Lockett AJ. General-purpose optimization through information maximization. [Thesis]. University of Texas – Austin; 2012. Available from: http://hdl.handle.net/2152/ETD-UT-2012-05-5459

Not specified: Masters Thesis or Doctoral Dissertation

8. Ringer, Nathanael David. Three essays on valuation and investment in incomplete markets.

Degree: Mathematics, 2011, University of Texas – Austin

URL: http://hdl.handle.net/2152/ETD-UT-2011-05-2816

► Incomplete markets provide many challenges for both investment decisions and valuation problems. While both problems have received extensive attention in complete markets, there remain many…
(more)

Subjects/Keywords: Credit default; Indifference pricing; Infinite-dimensional stochastic processes; Malliavin calculus; Numeraire; Utility maximization; Incomplete markets; Credit derivatives; Collateralized debt obligations; Optimal investment; Pricing

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Ringer, N. D. (2011). Three essays on valuation and investment in incomplete markets. (Thesis). University of Texas – Austin. Retrieved from http://hdl.handle.net/2152/ETD-UT-2011-05-2816

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Ringer, Nathanael David. “Three essays on valuation and investment in incomplete markets.” 2011. Thesis, University of Texas – Austin. Accessed May 27, 2019. http://hdl.handle.net/2152/ETD-UT-2011-05-2816.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Ringer, Nathanael David. “Three essays on valuation and investment in incomplete markets.” 2011. Web. 27 May 2019.

Vancouver:

Ringer ND. Three essays on valuation and investment in incomplete markets. [Internet] [Thesis]. University of Texas – Austin; 2011. [cited 2019 May 27]. Available from: http://hdl.handle.net/2152/ETD-UT-2011-05-2816.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Ringer ND. Three essays on valuation and investment in incomplete markets. [Thesis]. University of Texas – Austin; 2011. Available from: http://hdl.handle.net/2152/ETD-UT-2011-05-2816

Not specified: Masters Thesis or Doctoral Dissertation

9. Kriventsov, Dennis. A local-nonlocal transmission problem.

Degree: Mathematics, 2015, University of Texas – Austin

URL: http://hdl.handle.net/2152/31513

► We consider solutions to some elliptic equations which change abruptly across a smooth interface. The main equation of interest, motivated by applications to atmospheric dynamics,…
(more)

Subjects/Keywords: Nonlocal; Elliptic

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Kriventsov, D. (2015). A local-nonlocal transmission problem. (Thesis). University of Texas – Austin. Retrieved from http://hdl.handle.net/2152/31513

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Kriventsov, Dennis. “A local-nonlocal transmission problem.” 2015. Thesis, University of Texas – Austin. Accessed May 27, 2019. http://hdl.handle.net/2152/31513.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Kriventsov, Dennis. “A local-nonlocal transmission problem.” 2015. Web. 27 May 2019.

Vancouver:

Kriventsov D. A local-nonlocal transmission problem. [Internet] [Thesis]. University of Texas – Austin; 2015. [cited 2019 May 27]. Available from: http://hdl.handle.net/2152/31513.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Kriventsov D. A local-nonlocal transmission problem. [Thesis]. University of Texas – Austin; 2015. Available from: http://hdl.handle.net/2152/31513

Not specified: Masters Thesis or Doctoral Dissertation

10. Khan, Urmee, 1977-. Essays in economic design : information, markets and dynamics.

Degree: Economics, 2011, University of Texas – Austin

URL: http://hdl.handle.net/2152/ETD-UT-2011-05-3373

► This dissertation consists of three essays that apply both economic theory and econometric methods to understand design and dynamics of institutions. In particular, it studies…
(more)

Subjects/Keywords: Information aggregation; Prediction markets; Markov processes; Decision theory; Policy change; Precautionary principle; Climatic change; 2008 presidential election; Granger causality

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Khan, Urmee, 1. (2011). Essays in economic design : information, markets and dynamics. (Thesis). University of Texas – Austin. Retrieved from http://hdl.handle.net/2152/ETD-UT-2011-05-3373

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Khan, Urmee, 1977-. “Essays in economic design : information, markets and dynamics.” 2011. Thesis, University of Texas – Austin. Accessed May 27, 2019. http://hdl.handle.net/2152/ETD-UT-2011-05-3373.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Khan, Urmee, 1977-. “Essays in economic design : information, markets and dynamics.” 2011. Web. 27 May 2019.

Vancouver:

Khan, Urmee 1. Essays in economic design : information, markets and dynamics. [Internet] [Thesis]. University of Texas – Austin; 2011. [cited 2019 May 27]. Available from: http://hdl.handle.net/2152/ETD-UT-2011-05-3373.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Khan, Urmee 1. Essays in economic design : information, markets and dynamics. [Thesis]. University of Texas – Austin; 2011. Available from: http://hdl.handle.net/2152/ETD-UT-2011-05-3373

Not specified: Masters Thesis or Doctoral Dissertation

11. White, Christopher Dale. Optimality guarantees for non-convex low rank matrix recovery problems.

Degree: Mathematics, 2015, University of Texas – Austin

URL: http://hdl.handle.net/2152/32534

► Low rank matrices lie at the heart of many techniques in scientific computing and machine learning. In this thesis, we examine various scenarios in which…
(more)

Subjects/Keywords: Optimization; Non-convex; Low rank matrix

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

White, C. D. (2015). Optimality guarantees for non-convex low rank matrix recovery problems. (Thesis). University of Texas – Austin. Retrieved from http://hdl.handle.net/2152/32534

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

White, Christopher Dale. “Optimality guarantees for non-convex low rank matrix recovery problems.” 2015. Thesis, University of Texas – Austin. Accessed May 27, 2019. http://hdl.handle.net/2152/32534.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

White, Christopher Dale. “Optimality guarantees for non-convex low rank matrix recovery problems.” 2015. Web. 27 May 2019.

Vancouver:

White CD. Optimality guarantees for non-convex low rank matrix recovery problems. [Internet] [Thesis]. University of Texas – Austin; 2015. [cited 2019 May 27]. Available from: http://hdl.handle.net/2152/32534.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

White CD. Optimality guarantees for non-convex low rank matrix recovery problems. [Thesis]. University of Texas – Austin; 2015. Available from: http://hdl.handle.net/2152/32534

Not specified: Masters Thesis or Doctoral Dissertation

12. Yu, Xiang, 1984-. Utility maximization with consumption habit formation in incomplete markets.

Degree: Mathematics, 2012, University of Texas – Austin

URL: http://hdl.handle.net/2152/ETD-UT-2012-05-5590

► This dissertation studies a class of path-dependent stochastic control problems with applications to Finance. In particular, we solve the open problem of the continuous time…
(more)

Subjects/Keywords: Time non-separable utility maximization; Consumption habit formation; Convex duality; Auxiliary processes; Incomplete markets; Kalman-Bucy filtering; Verification lemma

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Yu, Xiang, 1. (2012). Utility maximization with consumption habit formation in incomplete markets. (Thesis). University of Texas – Austin. Retrieved from http://hdl.handle.net/2152/ETD-UT-2012-05-5590

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Yu, Xiang, 1984-. “Utility maximization with consumption habit formation in incomplete markets.” 2012. Thesis, University of Texas – Austin. Accessed May 27, 2019. http://hdl.handle.net/2152/ETD-UT-2012-05-5590.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Yu, Xiang, 1984-. “Utility maximization with consumption habit formation in incomplete markets.” 2012. Web. 27 May 2019.

Vancouver:

Yu, Xiang 1. Utility maximization with consumption habit formation in incomplete markets. [Internet] [Thesis]. University of Texas – Austin; 2012. [cited 2019 May 27]. Available from: http://hdl.handle.net/2152/ETD-UT-2012-05-5590.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Yu, Xiang 1. Utility maximization with consumption habit formation in incomplete markets. [Thesis]. University of Texas – Austin; 2012. Available from: http://hdl.handle.net/2152/ETD-UT-2012-05-5590

Not specified: Masters Thesis or Doctoral Dissertation