Publicaciones en colaboración con investigadores/as de Universidad Carlos III de Madrid (14)

2019

  1. Certainty equivalence principle in stochastic differential games: An inverse problem approach

    Optimal Control Applications and Methods, Vol. 40, Núm. 3, pp. 545-557

  2. Equilibrium strategies in a defined benefit pension plan game

    European Journal of Operational Research, Vol. 275, Núm. 1, pp. 374-386

2018

  1. Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance

    Insurance: Mathematics and Economics, Vol. 82, pp. 73-86

  2. Stochastic Differential Games for Which the Open-Loop Equilibrium is Subgame Perfect

    Dynamic Games and Applications, Vol. 8, Núm. 2, pp. 379-400

2015

  1. Euler–Lagrange equations of stochastic differential games: Application to a game of a productive asset

    Economic Theory, Vol. 59, Núm. 1, pp. 61-108

2012

  1. Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes

    European Journal of Operational Research, Vol. 220, Núm. 2, pp. 404-413

2010

  1. On a PDE Arising in One-Dimensional Stochastic Control Problems

    Journal of Optimization Theory and Applications, Vol. 147, Núm. 1, pp. 1-26

  2. Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates

    European Journal of Operational Research, Vol. 201, Núm. 1, pp. 211-221

2009

  1. Erratum: Existence and uniqueness of solutions to the Bellman equation in the unbounded case (Econometrica (2003) 71:5 (1519-1555))

    Econometrica

2008

  1. Funding and investment decisions in a stochastic defined benefit pension plan with several levels of labor-income earnings

    Computers and Operations Research, Vol. 35, Núm. 1, pp. 47-63

  2. Mean-variance portfolio and contribution selection in stochastic pension funding

    European Journal of Operational Research, Vol. 187, Núm. 1, pp. 120-137

2007

  1. New approach to stochastic optimal control

    Journal of Optimization Theory and Applications, Vol. 135, Núm. 1, pp. 163-177

  2. Recursive utility with unbounded aggregators

    Economic Theory, Vol. 33, Núm. 2, pp. 381-391

2006

  1. Optimal investment decisions with a liability: The case of defined benefit pension plans

    Insurance: Mathematics and Economics, Vol. 39, Núm. 1, pp. 81-98