Georgios Aivaliotis

University of Leeds - School of Mathematics

Dr

Leeds LS2 9JT

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS

572

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (3)

1.

Tutorial for Viscosity Solutions in Optimal Control of Diffusions

Number of pages: 36 Posted: 05 Apr 2010 Last Revised: 09 Nov 2011
Georgios Aivaliotis and Jan Palczewski
University of Leeds - School of Mathematics and University of Leeds - School of Mathematics
Downloads 351 (89,188)
Citation 4

Abstract:

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viscosity solutions, optimal control, diffusion, Hamilton-Jacobi-Bellman, variational inequality

2.

Investment Strategies and Compensation of a Mean-Variance Optimizing Fund Manager

Number of pages: 44 Posted: 07 Jun 2011 Last Revised: 21 Apr 2012
Jan Palczewski and Georgios Aivaliotis
University of Leeds - School of Mathematics and University of Leeds - School of Mathematics
Downloads 180 (175,439)

Abstract:

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mean-variance, continuous-time stochastic control, viscosity solutions, investment strategy, managerial compensation

3.

An HJB Approach to a General Continuous-Time Mean-Variance Stochastic Control Problem

Number of pages: 17 Posted: 18 Jul 2015 Last Revised: 09 Nov 2018
Georgios Aivaliotis and Alexander Veretennikov
University of Leeds - School of Mathematics and School of Mathematics, University of Leeds
Downloads 41 (440,261)

Abstract:

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mean-variance; stochastic control; Hamilton-Jacobi-Bellman; sobolev solutions, viscosity solutions