Pages that link to "Item:Q5939297"
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The following pages link to Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs (Q5939297):
Displayed 14 items.
- 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)
- Continuous dependence estimates for viscosity solutions of integro-PDEs (Q1779287) (← links)
- Optimal portfolios for logarithmic utility. (Q1877521) (← links)
- A unified approach to portfolio optimization with linear transaction costs (Q2433238) (← links)
- Power utility maximization in an exponential Lévy model without a risk-free asset (Q2577655) (← 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)
- 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)