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

DOI10.1111/j.1467-9965.2008.00350.xzbMath1214.91107MaRDI 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 equations; liquidity; random trading times; portfolio/consumption problem; cost of liquidity

Mathematics Subject Classification ID

93E20: Optimal stochastic control

91G80: Financial applications of other theories

91G10: Portfolio theory

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