44 citations · 68 across the 2 of their papers we have counts for
3 papers
q-fin.PM2013
Optimization problem under change of regime of interest rate
Bogdan Iftimie, Monique Jeanblanc, Thomas Lim +1
In this paper, we study the classical problem of maximization of the sum of the utility of the terminal wealth and the utility of the consumption, in a case where a sudden jump in…
math.AP2009★ 24 cited
Homogenization of a singular random one dimensional parabolic PDE with time varying coefficients
E. Pardoux, A. Piatnitski
The paper studies homogenization problem for a non-autonomous parabolic equation with a large random rapidly oscillating potential in the case of one dimensional spatial variable.…
math.PR2008★ 44 cited
Homogenization of a singular random one-dimensional PDE
Bogdan Iftimie, Étienne Pardoux, Andrey Piatnitski
This paper deals with the homogenization problem for a one-dimensional parabolic PDE with random stationary mixing coefficients in the presence of a large zero order term. We show…