Blog: Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation. (arXiv:1301.0280v1 [q-fin.PM])

Quantitative Finance at arXiv 141 days ago

News: Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation. (arXiv:1301.0280v1 [q-fin.PM])

141 days ago - q-fin updates on arXiv.org

We consider a utility maximization problem for an investment-consumption portfolio when the current utility depends also on the wealth process. Such kind of problems arise, e....

Blog: Homogenization and asymptotics for small transaction costs: the multidimensional case. (arXiv:1212.6275v1 [math.AP])

Quantitative Finance at arXiv 143 days ago

News: Homogenization and asymptotics for small transaction costs: the multidimensional case. (arXiv:1212.6275v1 [math.AP])

143 days ago - q-fin updates on arXiv.org

In the context of the multi-dimensional infinite horizon optimal consumption-investment problem with proportional transaction costs, we provide the first order expansion in sm...

Blog: Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model. (arXiv:1102.5126v2 [q-fin.PM] UPDATED)

Quantitative Finance at arXiv 254 days ago

News: Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model. (arXiv:1102.5126v2 [q-fin.PM] UPDATED)

254 days ago - q-fin updates on arXiv.org

In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem [SIAM J. Fin. Math. (2011) 22-54] by allowing jumps in both the factor pro...

Blog: Stochastic Target Games with Controlled Loss. (arXiv:1206.6325v1 [math.OC])

Quantitative Finance at arXiv 330 days ago

News: Stochastic Target Games with Controlled Loss. (arXiv:1206.6325v1 [math.OC])

330 days ago - q-fin updates on arXiv.org

We study a stochastic game where one player tries to find a strategy such that the state process reaches a target of controlled-loss-type, no matter which action is chosen by ...

Blog: LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY

Mathematical Finance 344 days ago

Blog: Small-time asymptotics for fast mean-reverting stochastic volatility models. (arXiv:1009.2782v2 [q-fin.PR] UPDATED)

Quantitative Finance at arXiv 372 days ago