Stochastic optimization in finance and life insurance [Elektronische Ressource] : applications of the Martingale method / Aihua Zhang (Chang)

Stochastic Optimization in Finance andLife Insurance:Applications of the Martingale MethodAihua Zhang (Chang)Department of Financial Mathematics,Fraunhofer Institut fu¨r Techno- und WirtschaftmathematikKaiserslautern, 67663 Kaiserslautern, GermanyE-mail: aihua.zhang@itwm.fraunhofer.deA thesis submitted for the degree of PhDin Financial Mathematicsat the Department of MathematicsUniversity of Kaiserslautern, GermanySupervisor: Professor Dr. Ralf KornToIdaLove from,mummyNovember 20071List of research papers of my PhD studies1. Zhang, A., (2007) A closed-form solution to the continuous-time con-sumption model with endogenous labor income, CRIEFF discussion pa-per, School of Economics & Finance, University of St Andrews.http://econpapers.repec.org/paper/sancrieff/0710.htm2. Zhang, A., (2007) Optimal Consumption, Labor Supply and PortfolioRules in a Continuous-time Life Cycle Model, Proceedings of the Sec-ond Conference on Game Theory and Applications, World AcademicPress.3. Zhang, A., (2007) A secret to create a complete market from an incom-plete market, Applied Mathematics and Computation 191, 253-262.4. Zhang, A., Korn, R., Ewald, C., (2007) Optimal management and in-flation protection for defined contribution pension plans, Bl¨atter derDGVFM, Volume 28 (2), 239-258. Springer.5. Ewald, C., Zhang, A.