A coupled system of integrodifferential equations arising in liquidity risk model
DOI10.1007/S00245-008-9046-9zbMATH Open1167.49036OpenAlexW2169022319MaRDI QIDQ2272162FDOQ2272162
Authors: 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
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Cites Work
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- Portfolio Selection with Transaction Costs
- A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
- A filtering approach to tracking volatility from prices observed at random times
- Optimal portfolio of low liquid assets with a log-utility function
- A model of optimal consumption under liquidity risk with random trading times
- A Corrected Proof of the Stochastic Verification Theorem within the Framework of Viscosity Solutions
- Some control problems with random intervention times
Cited In (12)
- Qualitative results for nonlinear integro-dynamic equations via integral inequalities
- Dynamic portfolio optimization with a defaultable security and regime-switching
- Optimal stopping problems with restricted stopping times
- Optimal consumption policies in illiquid markets
- A system of integro-differential-difference equations in risk theory, using compound birth-death processes
- A model of optimal consumption under liquidity risk with random trading times
- Expected power-utility maximization under incomplete information and with Cox-process observations
- Impact of time illiquidity in a mixed market without full observation
- Expected log-utility maximization under incomplete information and with Cox-process observations
- Investment/consumption choice in illiquid markets with random trading times
- On optimal investment in a reinsurance context with a point process market model
- Viscosity characterization of the value function of an investment-consumption problem in presence of an illiquid asset
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