Optimal Dividend Strategies for a Compound Poisson Process Under Transaction Costs and Power Utility

JOURNAL ARTICLE published 31 January 2011 in Stochastic Models

Authors: Stefan Thonhauser | Hansjörg Albrecher

Utility maximization problem with random endowment and transaction costs: when wealth may become negative

JOURNAL ARTICLE published 4 March 2017 in Stochastic Analysis and Applications

Authors: Yiqing Lin | Junjian Yang

Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs

JOURNAL ARTICLE published 2 October 2015 in Stochastic Models

Authors: Tim Leung | Xin Li | Zheng Wang

The Influence of Transaction Costs on Optimal Control for an Insurance Company with a New Value Function

BOOK CHAPTER published February 2010 in Recent Development in Stochastic Dynamics and Stochastic Analysis

Authors: Lin He | Zongxia Liang | Fei Xing

Simple bounds for utility maximization with small transaction costs

JOURNAL ARTICLE published April 2022 in Stochastic Processes and their Applications

Authors: Bruno Bouchard | Johannes Muhle-Karbe

Good Portfolio Strategies under Transaction Costs: A Renewal Theoretic Approach

BOOK CHAPTER published in Stochastic Finance

Authors: Albrecht Irle | Jörn Sass

Multivariate Utility Maximization under Transaction Costs

PROCEEDINGS ARTICLE published July 2004 in Stochastic Processes and Applications to Mathematical Finance

Authors: Kenji Kamizono

Finite Horizon Optimal Investment and Consumption with CARA Utility and Proportional Transaction Costs

BOOK CHAPTER published September 2012 in Stochastic Analysis and Applications to Finance

Authors: Yingshan Chen | Min Dai | Kun Zhao

Finite horizon optimal execution with bounded rate of transaction

JOURNAL ARTICLE published 2 October 2019 in Stochastic Models

Authors: Yipeng Yang

Portfolio Optimisation with Transaction Costs and Exponential Utility

BOOK CHAPTER published 16 May 2002 in Stochastic Processes and Related Topics

Admissible investment strategies in continuous trading

JOURNAL ARTICLE published December 1988 in Stochastic Processes and their Applications

Authors: Knut K. Aase | Bernt Øksendal

Optimal Portfolio Management with Partial Observations and Power Utility Function

BOOK CHAPTER published 1999 in Stochastic Analysis, Control, Optimization and Applications

Authors: Raymond Rishel

Optimal Exponential Utility in a Jump Bond Market

JOURNAL ARTICLE published 27 December 2010 in Stochastic Analysis and Applications

Authors: Dewen Xiong | Michael Kohlmann

Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences

JOURNAL ARTICLE published December 2003 in Stochastic Processes and their Applications

Authors: M SCHRODER | C SKIADAS

Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences

JOURNAL ARTICLE published December 2003 in Stochastic Processes and their Applications

Authors: Mark Schroder | Costis Skiadas

For what trading strategies is the tax payment stream of infinite variation?

JOURNAL ARTICLE published 4 March 2017 in Stochastic Analysis and Applications

Authors: Christoph Kühn

Necessary and sufficient conditions of optimality for optimal control problem with initial and terminal costs

JOURNAL ARTICLE published 1 August 2006 in Random Operators and Stochastic Equations

Authors: Seid Bahlali | Boubakeur Labed

Optimal Portfolios in Lévy Markets under State-Dependent Bounded Utility Functions

JOURNAL ARTICLE published 15 March 2010 in International Journal of Stochastic Analysis

Research funded by National Science Foundation (DMS 0906919,DMS 0806017)

Authors: José E. Figueroa-López | Jin Ma

Optimal Portfolio Selection with Transaction Costs

BOOK CHAPTER published 1999 in Control of Distributed Parameter and Stochastic Systems

Authors: Phillip Collings | Ulrich G. Haussmann

Asymptotic analysis of utility-based hedging strategies for small number of contingent claims

JOURNAL ARTICLE published November 2007 in Stochastic Processes and their Applications

Authors: D. Kramkov | M. Sǐrbu