Sébastien Lleo

Publication Activity (10 Years)

Years Active: 2011-2024
Publications (10 Years): 2

Top Topics

Infinite Horizon

Dynamic Programming

Control Strategies

Top Venues

Ann. Oper. Res.

Eur. J. Oper. Res.

Publications

Sébastien Lleo, Wolfgang J. Runggaldier
On the separation of estimation and control in risk-sensitive investment problems under incomplete observation. Eur. J. Oper. Res. 316 (1) (2024)
Mark Davis, Sébastien Lleo
Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data. Ann. Oper. Res. 336 (1-2) (2024)
Mark H. A. Davis, Sébastien Lleo
Jump-diffusion asset-liability management via risk-sensitive control. OR Spectr. 37 (3) (2015)
Mark Davis, Sébastien Lleo
Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model. SIAM J. Control. Optim. 51 (2) (2013)
Mark Davis, Sébastien Lleo
Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model. SIAM J. Financial Math. 2 (1) (2011)
Mark Davis, Sébastien Lleo
Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model CoRR (2011)