Pages that link to "Item:Q5939297"

The following pages link to Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs (Q5939297):

Displaying 44 items.

• Consumption-investment problem with transaction costs for Lévy-driven price processes (Q309169) (← links)
• Leverage management in a bull-bear switching market (Q311005) (← links)
• Stochastic \(H_{2}/H_{\infty}\) control for Poisson jump-diffusion systems (Q335028) (← links)
• Mean-variance portfolio selection with a stochastic cash flow in a Markov-switching jump-diffusion market (Q378275) (← links)
• Dynamic programming for a Markov-switching jump-diffusion (Q396027) (← links)
• Optimal consumption/investment problem with light stocks: a mixed continuous-discrete time approach (Q428104) (← links)
• Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility (Q470525) (← links)
• Unintended consequences of the market risk requirement in banking regulation (Q603004) (← links)
• A new definition of viscosity solutions for a class of second-order degenerate elliptic integro-differential equations (Q850174) (← links)
• ``Itō's lemma'' and the Bellman equation for Poisson processes: An applied view (Q857923) (← links)
• Stochastic optimal control of ultradiffusion processes with application to dynamic portfolio management (Q952084) (← links)
• Controlled stochastic differential equations under Poisson uncertainty and with unbounded utility (Q1017026) (← links)
• Robustness of stable volatility strategies (Q1657466) (← links)
• Maximum principle via Malliavin calculus for regular-singular stochastic differential games (Q1670534) (← links)
• A stochastic maximum principle for mixed regular-singular control problems via Malliavin calculus (Q1689689) (← links)
• Continuous dependence estimates for viscosity solutions of integro-PDEs (Q1779287) (← links)
• Optimal portfolios for logarithmic utility. (Q1877521) (← links)
• Power utility maximization in exponential Lévy models: Convergence of discrete-time to continuous-time maximizers (Q1935938) (← links)
• Utility maximization, risk aversion, and stochastic dominance (Q1938972) (← links)
• Consuming durable goods when stock markets jump: a strategic asset allocation approach (Q1994529) (← links)
• Consumption-investment optimization problem in a Lévy financial model with transaction costs and Làdlàg strategies (Q2190061) (← links)
• The optimal investment, liability and dividends in insurance (Q2240112) (← links)
• Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models (Q2327645) (← links)
• A unified approach to portfolio optimization with linear transaction costs (Q2433238) (← links)
• The relationship between the stochastic maximum principle and the dynamic programming in singular control of jump diffusions (Q2444215) (← links)
• Mean-variance portfolio selection in presence of infrequently traded stocks (Q2514715) (← links)
• Portfolio optimization in a defaultable Lévy-driven market model (Q2516636) (← links)
• Power utility maximization in an exponential Lévy model without a risk-free asset (Q2577655) (← links)
• Value functions in a regime switching jump diffusion with delay market model (Q2671163) (← links)
• Optimal Stopping Problem Associated with Jump-diffusion Processes (Q2909978) (← links)
• EQUILIBRIUM EQUITY PRICE WITH OPTIMAL DIVIDEND POLICY (Q2976130) (← links)
• The Value of Insight (Q3387920) (← links)
• Optimum Constrained Portfolio Rules in a Diffusion Market (Q3424319) (← links)
• Optimal Dividend Payouts Under Jump-Diffusion Risk Processes (Q3643190) (← links)
• Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type (Q4409028) (← links)
• Optimal control of ultradiffusion processes with application to mathematical finance (Q4983283) (← links)
• Optimal Investment with High-Watermark Fee in a Multidimensional Jump Diffusion Model (Q5123453) (← links)
• OPTIMAL PORTFOLIO AND CONSUMPTION FOR A MARKOVIAN REGIME-SWITCHING JUMP-DIFFUSION PROCESS (Q5164391) (← links)
• Optimal Investment-consumption for Partially Observed Jump-diffusions (Q5746531) (← links)
• Arbitrage and control problems in finance. A presentation (Q5939293) (← links)
• Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs (Q5939297) (← links)
• Special issue: Arbitrage and control problems in finance (Q5939302) (← links)
• The optimal investment problem with inflation and liquidity risk (Q6079953) (← links)
• Multi-period portfolio management and a simple method for calculating the realized return with transaction costs (Q6159094) (← links)