Concepedia

Agatha Murgoci

AM

6

Publications

1.5K

Citations

6

H-Index

2010

Active since

Affiliations

Stockholm School of Economics(Current)

Aarhus University

Copenhagen Business School

University of Toronto

Swedish House of Finance

Agatha Murgoci is an author at Stockholm School of Economics specializing in engineering, systems engineering, and games.

Top concepts

EngineeringSystems EngineeringGamesFinanceBusinessGame TheoryProbabilityProcess ControlStochastic AnalysisStochastic Processes

Publications per year

2010–2017

6

Publications

6

MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION

Tomas Björk, Agatha Murgoci, Xun Yu Zhou · Mathematical Finance · 2012 · 516 citations · Full text

A General Theory of Markovian Time Inconsistent Stochastic Control Problems

Tomas Björk, Agatha Murgoci · SSRN Electronic Journal · 2010 · 349 citations · Full text

On time-inconsistent stochastic control in continuous time

Tomas Björk, Mariana Khapko, Agatha Murgoci · Finance and Stochastics · 2017 · 325 citations · Full text

Engineering, Game Theory, Stochastic Analysis +16

A theory of Markovian time-inconsistent stochastic control in discrete time

Tomas Björk, Agatha Murgoci · Finance and Stochastics · 2014 · 229 citations

Stochastic Hybrid System, Engineering, Stochastic System +6

Financial Sector Linkages and the Dynamics of Bank and Sovereign Credit Spreads

René Kallestrup, David Lando, Agatha Murgoci · SSRN Electronic Journal · 2012 · 50 citations · Full text

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