A coupled system of integrodifferential equations arising in liquidity risk model

DOI10.1007/S00245-008-9046-9MaRDI QIDQ2272162zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

comparison principleviscosity solutionsintegrodifferential equationsliquidityportfolio/consumption problem

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Applications of optimal control and differential games (49N90)

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Cites work

• scientific article; zbMATH DE number 425394 (Why is no real title available?)
• scientific article; zbMATH DE number 158461 (Why is no real title available?)
• scientific article; zbMATH DE number 1325009 (Why is no real title available?)
• A Corrected Proof of the Stochastic Verification Theorem within the Framework of Viscosity Solutions
• 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
• A model of optimal consumption under liquidity risk with random trading times
• Optimal portfolio of low liquid assets with a log-utility function
• Optimum consumption and portfolio rules in a continuous-time model
• Portfolio Selection with Transaction Costs
• Some control problems with random intervention times

Cited in

(12)

• Qualitative results for nonlinear integro-dynamic equations via integral inequalities
• Expected power-utility maximization under incomplete information and with Cox-process observations
• 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
• Investment/consumption choice in illiquid markets with random trading times
• Impact of time illiquidity in a mixed market without full observation
• Dynamic portfolio optimization with a defaultable security and regime-switching
• Optimal stopping problems with restricted stopping times
• On optimal investment in a reinsurance context with a point process market model
• Expected log-utility maximization under incomplete information and with Cox-process observations
• Optimal consumption policies in illiquid markets
• Viscosity characterization of the value function of an investment-consumption problem in presence of an illiquid asset

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