Impact of time illiquidity in a mixed market without full observation
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Cites work
- A coupled system of integrodifferential equations arising in liquidity risk model
- A model of optimal consumption under liquidity risk with random trading times
- Controlled Markov processes and viscosity solutions
- HJB Equations for the Optimal Control of Differential Equations with Delays and State Constraints, II: Verification and Optimal Feedbacks
- scientific article; zbMATH DE number 1713116 (Why is no real title available?)
- scientific article; zbMATH DE number 4004696 (Why is no real title available?)
- scientific article; zbMATH DE number 192908 (Why is no real title available?)
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- scientific article; zbMATH DE number 1795850 (Why is no real title available?)
- Investment/consumption problem in illiquid markets with regime-switching
- Markets with transaction costs. Mathematical theory.
- On controller-stopper problems with jumps and their applications to indifference pricing of American options
- On the definition of viscosity solutions for parabolic equations
- Optimal consumption policies in illiquid markets
- Optimal portfolio of low liquid assets with a log-utility function
- Optimal trade execution in illiquid markets
- Pension funds with a minimum guarantee: a stochastic control approach
- Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management
- Stochastic Perron's method for Hamilton-Jacobi-Bellman equations
- User’s guide to viscosity solutions of second order partial differential equations
- Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation
- Viscosity characterization of the value function of an investment-consumption problem in presence of an illiquid asset
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