Optimal contracts in continuous-time models.
Cvitanić, Jakša, Wan, Xuhu, Zhang, Jianfeng (2006)
Journal of Applied Mathematics and Stochastic Analysis
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Cvitanić, Jakša, Wan, Xuhu, Zhang, Jianfeng (2006)
Journal of Applied Mathematics and Stochastic Analysis
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Shigeyoshi Ogawa, Monique Pontier (2007)
ESAIM: Probability and Statistics
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We consider an extension of the Kyle and Back's model [Back, (1992) 387–409; Kyle, (1985) 1315–1335], meaning a model for the market with a continuous time risky asset and asymmetrical information. There are three financial agents: the market maker, an insider trader (who knows a random variable which will be revealed at final time) and a non informed agent. Here we assume that the non informed agent is strategic, namely he/she uses a utility function...
Mukuddem-Petersen, J., Petersen, M.A., Schoeman, I.M., Tau, B.A. (2007)
Journal of Applied Mathematics
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Naoyuki Ishimura, Yuji Mita (2009)
Kybernetika
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We deal with the optimal portfolio problem in discrete-time setting. Employing the discrete Itô formula, which is developed by Fujita, we establish the discrete Hamilton–Jacobi–Bellman (d-HJB) equation for the value function. Simple examples of the d-HJB equation are also discussed.
Pierre-Louis Lions, Jean-Michel Lasry (2007)
Annales de l'I.H.P. Analyse non linéaire
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P.-L. Lions, J.-M. Lasry (2007)
Annales de l'I.H.P. Analyse non linéaire
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