LIQUIDATION OF AN INDIVISIBLE ASSET WITH INDEPENDENT INVESTMENT
DOI10.1111/mafi.12127zbMath1403.91340arXiv1312.2754OpenAlexW2124282269MaRDI QIDQ4635036
Emilie Fabre, Guillaume Royer, Nizar Touzi
Publication date: 13 April 2018
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1312.2754
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
Cites Work
- Optimal stochastic control, stochastic target problems, and backward SDE.
- Valuing the option to invest in an incomplete market
- An explicit solution for an optimal stopping/optimal control problem which models an asset sale
- OPTIMAL TIMING FOR AN INDIVISIBLE ASSET SALE
- Weak Dynamic Programming Principle for Viscosity Solutions
- Risk Aversion, Indivisible Timing Options, and Gambling
- On Embedding Right Continuous Martingales in Brownian Motion
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