Invariant measures of the pair: state, approximate filtering process
Option pricing in the CRR model with proportional transaction costs: a cone transformation approach
Option pricing in the Cox-Ross-Rubinstein model with transaction costs is studied. Using a cone transformation approach a complete characterization of perfectly hedged options is given.
On additive and multiplicative (controlled) Poisson equations
Assuming that a Markov process satisfies the minorization property, existence and properties of the solutions to the additive and multiplicative Poisson equations are studied using splitting techniques. The problem is then extended to the study of risk sensitive and risk neutral control problems and corresponding Bellman equations.
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