A coupled system of integrodifferential equations arising in liquidity risk model

DOI10.1007/S00245-008-9046-9zbMath1167.49036OpenAlexW2169022319MaRDI QIDQ2272162

Huyên Pham, Peter Tankov

Publication date: 6 August 2009

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-008-9046-9

zbMATH Keywords

comparison principleintegrodifferential equationsviscosity solutionsliquidityportfolio/consumption problem

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Applications of optimal control and differential games (49N90) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (10)

Optimal stopping problems with restricted stopping times ⋮ Qualitative results for nonlinear integro-dynamic equations via integral inequalities ⋮ Expected power-utility maximization under incomplete information and with Cox-process observations ⋮ On optimal investment in a reinsurance context with a point process market model ⋮ Optimal consumption policies in illiquid markets ⋮ A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES ⋮ Viscosity characterization of the value function of an investment-consumption problem in presence of an illiquid asset ⋮ DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING ⋮ Expected log-utility maximization under incomplete information and with Cox-process observations ⋮ Impact of time illiquidity in a mixed market without full observation

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• A filtering approach to tracking volatility from prices observed at random times
• Optimal portfolio of low liquid assets with a log-utility function
• Some control problems with random intervention times
• A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES
• A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
• A Corrected Proof of the Stochastic Verification Theorem within the Framework of Viscosity Solutions
• Portfolio Selection with Transaction Costs

This page was built for publication: A coupled system of integrodifferential equations arising in liquidity risk model