A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES (Q3005846): Difference between revisions

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+https://doi.org/10.1111/j.1467-9965.2008.00350.x
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+W1994353573
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+Q3405478
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+Q3136505
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+Portfolio Selection with Transaction Costs
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+A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
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+Martingales and arbitage in securities markets with transaction costs
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+Optimum consumption and portfolio rules in a continuous-time model
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+A coupled system of integrodifferential equations arising in liquidity risk model
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+Some control problems with random intervention times
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