78 citations · 85 across the 10 of their papers we have counts for
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math.OC2023★ 2 cited
On the Separation of Estimation and Control in Risk-Sensitive Investment Problems under Incomplete Observation
Sébastien Lleo, Wolfgang J. Runggaldier
A typical approach to tackle stochastic control problems with partial observation is to separate the control and estimation tasks. However, it is well known that this separation ge…
q-fin.PR2023★ 3 cited
A stochastic control perspective on term structure models with roll-over risk
Claudio Fontana, Simone Pavarana, Wolfgang J. Runggaldier
In this paper, we consider a generic interest rate market in the presence of roll-over risk, which generates spreads in spot/forward term rates. We do not require classical absence…