A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES

DOI10.1111/j.1467-9965.2008.00350.xzbMath1214.91107OpenAlexW1994353573MaRDI QIDQ3005846

Peter Tankov, Huyên Pham

Publication date: 9 June 2011

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2008.00350.x

zbMATH Keywords

integro-differential equationsliquidityrandom trading timesportfolio/consumption problemcost of liquidity

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)

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Cites Work

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• Optimum consumption and portfolio rules in a continuous-time model
• Martingales and arbitage in securities markets with transaction costs
• A coupled system of integrodifferential equations arising in liquidity risk model
• Some control problems with random intervention times
• A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
• Portfolio Selection with Transaction Costs

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