Optimal consumption problems in discontinuous markets
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- Publication:4939740
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Cites work
- A general version of the fundamental theorem of asset pricing
- Carthaginian enlargement of filtrations
- Hazard rate for credit risk and hedging defaultable contingent claims
- Optimal investment decisions when time-horizon is uncertain
- Optimal investment with counterparty risk: a default-density model approach
- Optimal portfolio for a small investor in a market model with discontinuous prices
- Quasimartingales, martingales locales, semimartingales et filtration naturelle
- The role of longevity bonds in optimal portfolios
- Utility maximization with a stochastic clock and an unbounded random endowment
- Utility Maximization with Discretionary Stopping
- What happens after a default: the conditional density approach
Cited in
(13)- Merton problem in an infinite horizon and a discrete time with frictions
- Portfolio optimization in discontinuous markets under incomplete information
- Portfolio optimization in a defaultable Lévy-driven market model
- Optimal consumption/investment problem with light stocks: a mixed continuous-discrete time approach
- Multiperiod optimal investment-consumption strategies with mortality risk and environment uncertainty
- Optimal portfolio and consumption with discontinuous prices and imcomplete information
- Optimal consumption investment decisions of discontinuous stock prices under correlated random disturbances
- Merton portfolio problem with one indivisible asset
- Optimization Methods in Mathematical Finance
- On an optimal consumption problem for p-integrable consumption plans
- Optimal investment and consumption strategies for an investor with stochastic economic factor in a defaultable market
- Optimal investment and risk control for an insurer in a jump-diffusion market with regime-switching
- Optimal portfolio for a small investor in a market model with discontinuous prices
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