Optimal consumption problems in discontinuous markets
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Publication:5746732
DOI10.1080/02331934.2013.857409zbMath1319.91137OpenAlexW2069315250MaRDI QIDQ5746732
Publication date: 7 February 2014
Published in: Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331934.2013.857409
optimal consumptionprogressive enlargement of filtrationsdiscontinuous martingalesingle-jump process
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Cites Work
- Optimal investment with counterparty risk: a default-density model approach
- Optimal portfolio for a small investor in a market model with discontinuous prices
- The role of longevity bonds in optimal portfolios
- Optimal investment decisions when time-horizon is uncertain
- What happens after a default: the conditional density approach
- A general version of the fundamental theorem of asset pricing
- Utility maximization with a stochastic clock and an unbounded random endowment
- Hazard rate for credit risk and hedging defaultable contingent claims
- Quasimartingales, martingales locales, semimartingales et filtration naturelle
- Utility Maximization with Discretionary Stopping
- Carthaginian enlargement of filtrations
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