A coupled system of integrodifferential equations arising in liquidity risk model
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Publication:2272162
DOI10.1007/s00245-008-9046-9zbMath1167.49036OpenAlexW2169022319MaRDI QIDQ2272162
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
comparison principleintegrodifferential equationsviscosity solutionsliquidityportfolio/consumption problem
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Cites Work
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- Some control problems with random intervention times
- A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES
- A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
- A Corrected Proof of the Stochastic Verification Theorem within the Framework of Viscosity Solutions
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